Unpredictable Trend Changes Drive CTA Losses in September

The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.19% loss in September. However, currency trading remains the best performing sector this year.

“The US economy continues to strengthen in spite of pervasive trade war fears and continued Fed monetary tightening, while other countries have chosen to keep their rates low,” says Sol Waksman, founder and president of BarclayHedge.

He adds: “These contradictory monetary policies have created unpredictable crosscurrents and trend changes in futures prices.”

Eight of Barclay’s managed futures indices had losses in September, while only one had a gain.

Cryptocurrency traders gave up 2.68%; the MPI Barclay Elite Systematic Traders Index lost 0.62%; systematic traders were down 0.56%; agricultural traders lost 0.37%; the Diversified Traders Index gave up 0.44%; and the Currency Traders Index lost 0.01%.

The Discretionary Traders Index had the only gain in September, achieving a 0.22% return.

The BTOP50 Index, which is composed of the largest CTAs open to new investment, had an estimated 0.08% gain in September, but is still down 2.31% for the year.

Year-to-date, the Barclay CTA Index is down 1.53%, while six of Barclay’s managed futures indices have losses and three have gains.

The Cryptocurrency Traders Index is down 49.39% for the year, with seven months of losses nullifying two months of gains. Financial and metals traders have lost 3.49%, diversified traders are down 2.71%, and the Systematic Traders Index has given up 2.48%.

On the positive side, currency traders have gained 3.86% in 2018, the Discretionary Traders Index is up 1.88%, and agricultural traders have a 0.87% return.


Galen Stops

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