The latest flash estimate for the Barclay CTA Index, compiled by BarclayHedge, shows a 1.75 per cent gain in October. Year to date, the index is up 0.15 per cent.
Diversified Traders led for the month with a gain of 2.50 per cent, followed by Systematic Traders at 2.46 per cent and Financial/Metals Traders up 2.02 per cent. Currency Traders notched a modest gain of 0.25 per cent while Discretionary Traders fell 0.06 per cent and Agricultural slid by 0.31 per cent.
“Global equity markets provided the biggest boost to returns as the S&P 500 rally moved into its 12th consecutive month and the Nikkei 225 rose to 20-year highs,” says Sol Waksman (pictured), founder and president of BarclayHedge. “The ongoing rally in the energy complex that began this summer continued for a fourth consecutive month, driving crude oil prices to its highest levels in more than a year and providing a profitable trading opportunity,” says Waksman. “Prices for base metals rallied as well.”
The largest systematic traders, those managing in excess of USD1 billion, were particularly well positioned to benefit from October’s trends and their investors enjoyed average gains of 3.88 per cent. Ninety-four percent of these systematic strategies were profitable last month.
The strong October performance of Financials/Metals propelled the sector to the top spot for the year with a gain of 3.35 per cent. Agricultural is up 2.23 per cent year to date while Currency (0.40 per cent) and Discretionary (0.27 per cent) have modest gains. In the negative column, Systematic is down 0.12 per cent and Discretionary has fallen 1.90 per cent.
The BTOP50 Index, which is composed of the largest CTAs that are open to new investment, gained 3.08 per cent for the month but is still down 1.40 per cent for the year
