Managed futures posted a modest gain of 0.68 per cent in September, according to the Barclay CTA Index compiled by Fairfield, Iowa-based index provider BarclayHedge, taking the index’s cum
Managed futures posted a modest gain of 0.68 per cent in September, according to the Barclay CTA Index compiled by Fairfield, Iowa-based index provider BarclayHedge, taking the index’s cumulative advance to 7.86 per cent over the first nine months of this year.
‘As the financial crisis continued to wreak havoc across global equity markets, trend-following CTAs were able to profit from short positions in stock index futures,’ says BarclayHedge founder and president Sol Waksman.
The Barclay Systematic Traders Index gained 1.94 per cent, in September, while Diversified Traders were up 1.56 per cent, and the Financial/Metals rose by 1.07 per cent.
‘Most commodity prices have been in decline since mid-August,’ says Waksman. ‘CTAs, on balance, are currently short these markets, and the price declines were another source of profits for the month. Global fixed income was a difficult area for many traders in September. The US rescue plan resulted in large counter-trend moves in the interest rate markets.’
All eight of the managed futures indices monitored by BarclayHedge are showing positive performance for the year to date. The Diversified Traders Index is up 14.15 per cent, Agricultural Traders have gained 10.73 per cent, Systematic Traders 9.21 per cent and Discretionary Traders 9.05 per cent.
The Barclay BTOP50 Index, which monitors performance of the largest traders, rose by 0.28 per cent in September and is now up 6.45 per cent over the first nine months of the year.
Founded as the Barclay Group in 1985, BarclayHedge tracks more than 6,800 hedge funds, funds of hedge funds and managed futures programmes and maintains 18 proprietary hedge fund and eight managed futures indices, providing data to clients including institutional investors, brokerage firms and private banks.
