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Managed futures down for second straight month in October

Thursday, November 14, 2019
Opalesque Industry Update - The managed futures industry suffered a second straight down month in October declining 0.74%, according to the Barclay CTA Index compiled by BarclayHedge, a division of Backstop Solutions. Sixty percent of CTA funds had losses on the month, but year-to-date, CTAs have posted a 4.80% gain through the end of October.

"Signs of a possible 'phase one' US/China trade truce coupled with the hope that a no-deal Brexit may yet be avoided was enough to convince investors that it may be time to reduce their defensive positions and get on offense," said Sol Waksman, president of BarclayHedge. "Interest rates rose, the US dollar weakened against the British pound and the euro, and the S&P 500 began its rise to new all-time highs in the second week of October ending a 3-week decline from mid-September."

CTA sectors were evenly split between gainers and losers in October, and though the industry was in the red for the month, four sectors posted gains. The Cryptocurrency Traders Index led the way with a 2.73% return for the month, followed by the Discretionary Traders Index with a gain of 0.22%, the Agricultural Traders Index rose 0.16%, and the Currency Traders Index returned 0.09%.

Sectors in the red in October included the MPI Barclay Elite Systematic Traders Index, down 2.23%, the Diversified Traders Index dropped 1.46%, the Systematic Traders Index lost 1.21%, and the Financial & Metal Traders Index shed 0.70%.

For the year-to-date, all CTA sectors remained in the black through October. The Cryptocurrency Traders Index set the pace with a 51.62% return year-to-date, followed by the MPI Barclay Elite Systematic Traders Index, gaining 7.54%, the Financial & Metal Traders Index, up 4.34%, the Systematic Traders Index has advanced 4.30%, and the Diversified Traders Index is up 3.87% on the year.

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment, lost 2.57% in October but has gained 6.53% year-to-date.

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