The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 1.29% loss in October. Year to date, the Index is down 2.87%.
“Although many traders were able to profit from the US dollar’s strength against most of the major currencies, the profits were offset by losses in the equity, interest rate, and commodity sectors,” says Sol Waksman, founder and president of BarclayHedge. “Seventy percent of CTA funds posted losses in October.”
Six of Barclay’s Managed Futures indices lost ground in October, while three had gains.
Cryptocurrency Traders gave up 3.62% in October, MPI Barclay Elite Systematic Traders lost 3.15%, Diversified Traders were down 2.32%, the Systematic Traders Index lost 1.93% and Financial/Metals Traders dropped 0.43%.
The Currency Traders Index had the largest gain in October, achieving a 0.89% return. Discretionary Traders were up 0.31% and Agricultural Traders rose 0.20%.
The BTOP50 Index, which is composed of the largest CTAs open to new investment, had an estimated 2.37% loss in October, and is down 4.83% for the year.
Through October, six Barclay CTA indices have losses, and three have positive returns.
Remarkably, Cryptocurrency Traders are down 51.56% for the year, and the MPI Barclay Elite Systematic Traders Index has lost 5.20%. The Diversified Traders Index is down 4.96%, Systematic Traders have lost 4.47%, while Financial and Metals Traders are down 4.08%.
On the positive side, Currency Traders have gained 4.62% in 2018, the Discretionary Traders Index is up 2.09%, and Agricultural Traders have gained 0.81%.
The data reinforces the gloomy mood in the CTA industry highlighted by news earlier this month that all of Societe Generale’s CTA indices were now in negative territory for the year.