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Managed futures hold their ground in 2011; Barclay CTA Index gains 0.35% in September

Thursday, October 20, 2011
Opalesque Industry Update - Managed futures gained 0.35% in September according to the Barclay CTA Index compiled by BarclayHedge. Year-to-date, the Index is down just 0.41%.

"Operation Twist in the US, sovereign debt uncertainty in Europe, and potential slowing in China all conspired to keep volatility high and to drive investors away from risk assets," says Sol Waksman, founder and president of BarclayHedge.

Equity markets went into liquidation mode, bonds rallied, and commodity prices sold off as investors started pricing in a double-dip recession.

Five of Barclay's eight CTA indices gained ground in September. The Barclay Currency Traders Index was up 1.51%, Financial & Metal Traders gained 0.66%, and Systematic Traders added 0.21%.

Agricultural Traders lost 0.78% in September, Diversified Traders gave up 0.54%, and Discretionary Traders slid 0.25%.

"Although the gains and losses on the index level were modest in September, the actual performance among managers was widely dispersed" says Waksman.

The top performing manager returned 41 percent for the month, while the bottom manager lost 44 percent.

After three quarters, the Barclay Agricultural Traders Index is up 3.23%, Discretionary Traders have gained 2.72%, Financial & Metal Traders are up 1.48%, and the Currency Traders Index has gained 1.10%.

On the losing side, Diversified Traders are down 0.96% after nine months, and Systematic Traders have given up 0.63%.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, gained 0.29% in September, but remains down 2.19% year-to-date.

(press release)

Sol Waksman is an experienced media source, providing perspectives on hedge fund and managed futures trends. For more commentary or background, call 641-472-3456 or email

BarclayHedge was founded in 1985 and actively tracks more than 6,100 hedge funds, funds of hedge funds, and managed futures programs. Each month Barclay provides updated performance rankings for 38 Hedge Fund categories, 16 CTA categories, and 7 UCITS categories.

Institutional investors, brokerage firms, and private banks worldwide utilize BarclayHedge indices as performance benchmarks for the hedge fund and managed futures industries...Full performance table: Source

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