An ongoing bond market rally that pushed 30-year US Treasury and German bond yields to all-time lows helped to propel managed futures funds to a profitable August with CTA funds returning 2.23 per cent according to the Barclay CTA Index compiled by BarclayHedge.
Year-to-date, CTA funds are up 7.63 per cent through the end of August.
“As Treasury yields dropped, the yield curve inverted for the first time since 2007, equity markets stumbled and gold prices soared to multi-year highs,” says Sol Waksman (pictured), president of BarclayHedge. “Agricultural markets sold off and corn dropped 10 per cent based on USDA predictions of a bumper crop.”
All but two CTA sectors were in positive territory for August. Leading the way were the Diversified Traders Index gaining 3.17 per cent for the month, the MPI Barclay Elite Systematic Traders Index advancing 2.54 per cent, the Systematic Traders Index returning 2.54 per cent, and the Discretionary Traders Index gaining 0.86 per cent.
Sectors in the red for the month were the Cryptocurrency Traders Index, down 7.24 per cent, and the Agricultural Traders Index, dropping 0.35 per cent in August.
“Although agricultural traders seem to have been caught off guard by the surprise finding in August’s crop report, momentum-driven diversified portfolios were well-positioned to profit,” says Waksman.
All CTA sectors but the Agricultural Traders Index remain in the black for the year-to-date through the end of August. The Cryptocurrency Traders Index continues to lead the way with a 58.61 per cent gain. The MPI Barclay Elite Systematic Traders Index is up 12.47 per cent, the Diversified Traders Index has advanced 8.60 per cent, and the Systematic Traders Index has gained 7.94 per cent.
The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment, has gained 11.87 per cent through the end of August.
