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Barclay CTA Index Rises 1.75% in October (+0.15% YTD)

Monday, November 13, 2017
Opalesque Industry Update - The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, shows a 1.75% gain in October. Year to date, the index is up 0.15%.

Diversified Traders led for the month with a gain of 2.50%, followed by Systematic Traders at 2.46% and Financial/Metals Traders up 2.02%. Currency Traders notched a modest gain of 0.25% while Discretionary Traders fell 0.06% and Agricultural slid by 0.31%.

"Global equity markets provided the biggest boost to returns as the S&P 500 rally moved into its 12th consecutive month and the Nikkei 225 rose to 20-year highs," says Sol Waksman, founder and president of BarclayHedge.

"The ongoing rally in the energy complex that began this summer continued for a fourth consecutive month, driving crude oil prices to its highest levels in more than a year and providing a profitable trading opportunity," says Waksman. "Prices for base metals rallied as well."

The largest systematic traders, those managing in excess of $1 billion, were particularly well positioned to benefit from October's trends and their investors enjoyed average gains of 3.88%. Ninety-four percent of these systematic strategies were profitable last month.

The strong October performance of Financials/Metals propelled the sector to the top spot for the year with a gain of 3.35%. Agricultural is up 2.23% year to date while Currency (0.40%) and Discretionary (0.27%) have modest gains. In the negative column, Systematic is down 0.12% and Discretionary has fallen 1.90%.

The BTOP50 Index, which is composed of the largest CTAs that are open to new investment, gained 3.08% for the month but is still down 1.40% for the year.

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