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Barclay CTA Index down 0.69% in September (+0.51% YTD); 61% of managed futures traders take losses

Monday, October 15, 2012
Opalesque Industry Update:Managed futures lost 0.69% in September according to the Barclay CTA Index compiled by BarclayHedge. The Index remains up 0.51% year to date.

“A second month of rising equity prices generated profits for momentum-based managers, but losses in commodity and interest rates markets had a greater impact on portfolio returns in September,” says Sol Waksman, founder and president of BarclayHedge.

Seven of Barclay’s eight CTA indices had losses in September. The Barclay Agricultural Traders Index gave up 1.66%, Systematic Traders were down 0.86%, Diversified Traders lost 0.84%, Financial & Metals Traders were down 0.60%, and Discretionary Traders lost 0.49%.

“Overall, 61 percent of managed futures funds have reported negative returns for September,” says Waksman. “The average loss for the month was 2.76 percent for those CTAs with a negative return.”

The one profitable strategy this month was the Barclay Currency Traders Index, which gained 0.19%.

At the end of three quarters in 2012, Agricultural Traders are up 7.64%, Discretionary Traders have gained 2.67%, and Currency Traders have a 1.22% return.

On the negative side of the ledger, Financial & Metals Traders are down 1.86% year to date, Systematic Traders have lost 0.60%, and Diversified Traders are down 0.47%.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, lost 0.88% in September, and is down 0.20% year to date.

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