Barclay CTA Index Posts 0.22 per cent Loss in February

The managed futures industry reversed course in February, turning from January’s gains into negative monthly territory losing 0.22 per cent, according to the Barclay CTA Index compiled by BarclayHedge, a division of Backstop Solutions. 

CTAs remain in the black for the year-to-date, however, returning 0.34 per cent through the end of February.

“After making record highs in the first half of February, economic concerns driven by coronavirus fears dragged US and European stock markets sharply lower at month’s end,” says Sol Waksman, president of BarclayHedge. “While the virus took its toll on equity markets, holdings in other market sectors were more favourably impacted. Many momentum managers came into the month with long positions in interest-rate instruments and short positions in energy markets and saw those positions increase in profitability.”

The industry-wide index gives a bit of a misleading picture of February returns. In fact, more of the CTA sub-sectors had gains rather than losses for the month.

The Currency Traders Index led the way among sectors posting gains in February with a 1.94 per cent return. Other gainers included the Cryptocurrency Traders Index, up 1.78 per cent, Agricultural Traders Index, gaining 0.12 per cent, and the the Discretionary Traders Index, returning 0.07 per cent.

Losing ground in February were the MPI Barclay Elite Systematic Traders Index, off 2.07 per cent, the Financial & Metal Traders Index, down 0.33 per cent, the Diversified Traders Index, down 0.15 per cent and the Systematic Traders Index losing 0.11 per cent.

Most sectors were in the black for the year-to-date through the end of February. The Cryptocurrency Traders Index set the pace, up 19.07 per cent, followed by the Currency Traders Index, returning 3.19 per cent, the Financial & Metal Traders Index, gaining 1.31 per cent, and the Systematic Traders Index, up 0.88 per cent.

In the red for the year-to-date were the MPI Barclay Elite Systematic Traders Index, down 1.68 per cent through February, and the Discretionary Traders Index, off 0.75 per cent on the year.

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment, was down 1.30 per cent in February and was down 1.16 per cent year-to-date as the month ended.