Following a 1.50% drop in October, managed futures gained 0.11% in November according to the Barclay CTA Index compiled by BarclayHedge. Year-to-date, the Index remains down 3.09%.
“In spite of a gut-wrenching reversal from risk-off to risk-on in the last three days of the month, CTAs were mostly in the black at month-end,” says Sol Waksman (pictured), founder and president of BarclayHedge.
Six of Barclay’s eight CTA indices were profitable in November. The Currency Traders Index gained 1.09%, Discretionary Traders were up 0.28%, Financial & Metal Traders gained 0.23%, and Systematic Traders added 0.09%.
“For much of November the US Dollar gained ground against most other currencies based on its perceived ‘safe-haven’ status,” says Waksman.
On the losing side in November, Diversified Traders were down 0.29%, and Agricultural Traders slipped 0.07%.
“Commodity markets traded lower as measured by a nearly two percent decline in the Reuters/CRB Index,” says Waksman. “Prices for gold and crude oil bucked the trend and rose during the month.”
The Diversified Traders Index is down 5.36% year-to-date. 2011 will be only the third losing year for Diversified Traders versus 22 years of gains since BarclayHedge began tracking their performance in 1987.
The largest CTAs, as measured by the Barclay BTOP50Index, gained 0.06% in November. The BTOP50 is now down 4.02% in 2011.