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Barclay CTA Index gains 1.11% in April (+2.11%); systematic traders up 2.46% YTD

Wednesday, May 15, 2013
Opalesque Industry Update: Managed futures gained 1.11% in April according to the Barclay CTA Index compiled by BarclayHedge. The Index is up 2.11% year to date.

“Rising prices for equities and debt securities were fueled by central bank easing, and coupled with falling commodity prices driven by weak economic data out of China, served as the backdrop for CTA performance in April,” says Sol Waksman, founder and president of BarclayHedge.

Overall performance was mixed in April, with five of Barclay’s eight CTA indices making gains, while three indices lost ground. The Financial & Metal Traders Index gained 1.47%, Systematic Traders were up 1.21%, and Diversified Traders gained 1.20%.

“Portfolios with exposure to a preponderance of the major futures sectors were in the best position to profit from the trading opportunities available in April,” says Waksman.

On the losing side, Currency Traders gave up 0.50%, Agricultural Traders lost 0.26%, and Discretionary Traders were down 0.22%.

“Discretionary traders usually underperform their systematic brethren during trending markets,” says Waksman. “Trends can oftentimes persist longer than justified by the underlying market fundamentals."

Year to date, Systematic Traders have gained 2.46%, Diversified Traders are up 2.37%, Financial & Metal Traders added 2.28%, and Currency Traders have gained 1.06%.

The only losing strategy after four months is the Agricultural Traders Index, which is down 0.13%.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, gained 1.58% in April.


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