Barclay CTA Index down 1.48 per cent in September, says Backstop BarclayHedge

Managed futures funds reversed course from the prior month’s gains in September and declined 1.48 per cent according to the Barclay CTA Index compiled by BarclayHedge. For the year-to-date, CTA funds were up 6.08 per cent through the end of September.

“The trend is your friend is a timeworn cliché among momentum traders in futures markets,” says Sol Waksman (pictured), president of BarclayHedge. “Friends were few and far apart in September as Treasury yields and agricultural markets rebounded from the previous month, gold’s uptrend stalled as prices dropped, and crude oil, which had been trending downwards, spiked up 16 per cent on September 16 when Iranian missiles struck a Saudi refinery. Gains from profitable trades were not enough to overcome the losers for 68 per cent of the funds in the BarclayHedge CTA Database.”
Only two sectors were profitable in September. The Agricultural Traders Index gained 0.52 per cent and the Discretionary Traders Index was up 0.20 per cent.
Far more sectors were in the red for the month. The Cryptocurrency Traders Index lost 4.80 per cent, the Diversified Traders Index posted a 2.70 per cent decline, the MPI Barclay Elite Systematic Traders Index dropped 2.19 per cent, the Systematic Traders Index fell 2.05 per cent and the Currency Traders Index shed 0.30 per cent.
Year-to-date, all CTA sectors are in the black through September. The Cryptocurrency Traders Index remains the top gainer with a 50.76 per cent return.  The MPI Barclay Elite Systematic Traders Index has gained 10.01 per cent, the Diversified Traders Index is up 6.03 per cent, and the Systematic Traders Index has risen by 5.90 per cent through the end of September.
The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment lost 3.08 per cent and has gained 9.19 per cent year-to-date through September.