Sol Waksman, BarclayHedge

Barclay CTA Index down 0.74 per cent in October


The managed futures industry suffered a second straight down month in October declining 0.74 per cent, according to the Barclay CTA Index compiled by BarclayHedge, a division of Backstop Solutions. 

Sixty per cent of CTA funds had losses on the month, but year-to-date, CTAs have posted a 4.80 per cent gain through the end of October.

“Signs of a possible ‘phase one’ US/China trade truce coupled with the hope that a no-deal Brexit may yet be avoided was enough to convince investors that it may be time to reduce their defensive positions and get on offence,” says Sol Waksman (pictured), president of BarclayHedge. “Interest rates rose, the US dollar weakened against the British pound and the euro, and the S&P 500 began its rise to new all-time highs in the second week of October ending a three-week decline from mid-September.”

CTA sectors were evenly split between gainers and losers in October, and though the industry was in the red for the month, four sectors posted gains. The Cryptocurrency Traders Index led the way with a 2.73 per cent return for the month, followed by the Discretionary Traders Index with a gain of 0.22 per cent, the Agricultural Traders Index rose 0.16 per cent, and the Currency Traders Index returned 0.09 per cent.

Sectors in the red in October included the MPI Barclay Elite Systematic Traders Index, down 2.23 per cent, the Diversified Traders Index dropped 1.46 per cent, the Systematic Traders Index lost 1.21 per cent, and the Financial & Metal Traders Index shed 0.70 per cent.

For the year-to-date, all CTA sectors remained in the black through October. The Cryptocurrency Traders Index set the pace with a 51.62 per cent return year-to-date, followed by the MPI Barclay Elite Systematic Traders Index, gaining 7.54 per cent, the Financial & Metal Traders Index, up 4.34 per cent, the Systematic Traders Index has advanced 4.30 per cent, and the Diversified Traders Index is up 3.87 per cent on the year.

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment, lost 2.57 per cent in October but has gained 6.53 per cent year-to-date.

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