The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.21 per cent gain in July. Year to date, the Index has lost 1.98 per cent.
“Although Managed Futures were able to register a small gain in July with 57 per cent of the underlying index constituents reporting profits, the dispersion of monthly returns was quite high, ranging from a 41 per cent gain down to a 15 per cent loss,” says Sol Waksman, founder and president of BarclayHedge.
Four of Barclay’s managed futures indices had gains in July, while six had losses. The Cryptocurrency Traders Index was up 5.28 per cent, Agricultural Traders gained 1.04 per cent, and Discretionary Traders were up 0.67 per cent.
The MPI Barclay Elite Systematic Traders Index gave back its June gains with a 0.86 per cent loss in July. Financial and Metals Traders were down 0.35 per cent, Diversified Traders gave up 0.19 per cent and Currency Traders lost 0.17 per cent.
The BTOP50 Index, which is composed of the largest CTAs open to new investments, lost 0.53 per cent in July.
“Tradable downtrends in precious metals and sugar helped some managers, but managers with longer term momentum strategies probably gave up some ground in interest rate and energy markets,” says Waksman.
“Although the July decline experienced by Currency Traders was quite small (-0.17 per cent), intra-month trend reversals in many of the most popular G7 currency crosses helped put 77 per cent of currency funds into the loss column.”
After seven months, six of Barclay’s Managed Futures indices have losses and three have gains. Cryptocurrency Traders have a negative return of 42.07 per cent for the year, the Elite Systematic Traders Index is down 5.14 per cent, Diversified Traders have lost 3.42 per cent, Systematic Traders are down 2.97 per cent, while Financial and Metals Traders have lost 2.90 per cent. The BTOP50 Index is currently is down 3.60 per cent.
Conversely, the Currency Traders Index has gained 3.58 per cent in 2018, Discretionary Traders are up 2.26 per cent, and Agricultural Traders have gained 1.50 per cent.