Managed futures traders lost 0.78 per cent in October according to the Barclay CTA Index compiled by BarclayHedge. The Index is down 1.52 per cent year to date.
“A powerful rally in global equities coming on the heels of two consecutive down months found many trend-following CTAs on the wrong side of the market in October,” says Sol Waksman (pictured), founder and president of BarclayHedge.
Six of Barclay’s eight CTA indices lost ground in October. The Diversified Traders Index was down 1.50 per cent, Systematic Traders lost 1.17 per cent, Agricultural Traders were down 0.55 per cent, and Financial/Metals Traders gave up 0.41 per cent.
“A decline in the US 10-year Treasury increased losses for traders who, based on weaker economic data in September, had taken long positions in these bonds,” says Waksman.
On the positive side, Currency Traders gained 0.48 per cent in October, while the Discretionary Traders Index was up 0.06 per cent.
“Discretionary managers playing for more quantitative easing in Europe and Japan were rewarded as long equity positions in those regions were profitable,” says Waksman.
Year to date, Currency Traders have gained 3.37 per cent, and Financial/Metals Traders are up 1.63 per cent.
The Diversified Traders Index has lost 4.35 per cent in 2015, Systematic Traders are down 2.72 per cent, Agricultural Traders have lost 0.76 per cent, and Discretionary Traders are down 0.32 per cent.
The Barclay BTOP50 Index, which measures performance of the largest CTAs, lost 1.29 per cent in October. The BTOP50 is currently down 2.26 per cent for the year.
