Managed futures traders slipped after two months of gains, losing 0.72% in September, according to the flash estimate for the Barclay CTA Index, which is compiled by BarclayHedge.
“The Fed’s mid-month confirmation that it was unwinding QE precipitated trend reversals in bond yields, the US Dollar Index, and gold,” says Sol Waksman, founder and president of BarclayHedge. “In spite of the ongoing rally in global equities, there were several treacherous crosscurrents in motion during September and successful navigation was difficult.”
Agricultural, discretionary and currency indices all recorded modest gains of 0.4%, 0.27% and 0.24%, respectively. Financials and metals were both down -0.1%, while sharper losses were recorded in the systematic and diversified indices, which were down -0.99% and -1.31%, respectively.
For the year, the Index is down -1.26%. Agriculture is the best performing sector of the year with a gain of 2.60%, while the diversified traders index lags with a decline of -3.60%.
The Barclay BTOP50 Index, which focuses on the largest CTAs, fell by -1.98% for the month. Year to date through the end of September, the BTOP50 Index is down -4.03%.