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Alternative Market Briefing

Managed futures funds down 1.48% in September, but up 6.08% YTD

Wednesday, October 16, 2019

Laxman Pai, Opalesque Asia:

According to the Barclay CTA Index, managed futures funds reversed course from the prior month's gains in September and declined 1.48%. Trends prove hard to find during the month making it difficult for many CTAs to find their footing, BarclayHedge pointed out.

"The trend is your friend is a timeworn cliché among momentum traders in futures markets," said Sol Waksman, president of BarclayHedge.

"Friends were few and far apart in September as Treasury yields and agricultural markets rebounded from the previous month, gold's uptrend stalled as prices dropped, and crude oil, which had been trending downwards, spiked up 16% on September 16 when Iranian missiles struck a Saudi refinery. Gains from profitable trades were not enough to overcome the losers for 68% of the funds in the BarclayHedge CTA Database," he added.

Only two sectors were profitable in September. The Agricultural Traders Index gained 0.52% and the Discretionary Traders Index was up 0.20%.

Far more sectors were in the red for the month. The Cryptocurrency Traders Index lost 4.80%, the Diversified Traders Index posted a 2.70% decline, the MPI Barclay Elite Systematic Traders Index dropped 2.19%, the Systematic Traders Index fell 2.05% and the Currency Traders Index shed 0.30%.

Year-to-date, all CTA sectors are in the black through September. The Cryptocurrency Traders Index remains the top gainer with a 50.76% return.

The MPI Barclay Elite Systematic Traders Ind......................

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