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Barclay CTA Index gains 2.23% in August

Wednesday, September 18, 2019
Opalesque Industry Update - An ongoing bond market rally that pushed 30-year US Treasury and German bond yields to all-time lows helped to propel managed futures funds to a profitable August with CTA funds returning 2.23% according to the Barclay CTA Index compiled by BarclayHedge, a division of Backstop Solutions.

Year-to-date, CTA funds are up 7.63% through the end of August.

"As Treasury yields dropped, the yield curve inverted for the first time since 2007, equity markets stumbled and gold prices soared to multi-year highs," said Sol Waksman, president of BarclayHedge. "Agricultural markets sold off and corn dropped 10% based on USDA predictions of a bumper crop."

All but two CTA sectors were in positive territory for August. Leading the way were the Diversified Traders Index gaining 3.17% for the month, the MPI Barclay Elite Systematic Traders Index advancing 2.54%, the Systematic Traders Index returning 2.54%, and the Discretionary Traders Index gaining 0.86%.

Sectors in the red for the month were the Cryptocurrency Traders Index, down 7.24%, and the Agricultural Traders Index, dropping 0.35% in August.

"Although agricultural traders seem to have been caught off guard by the surprise finding in August's crop report, momentum-driven diversified portfolios were well-positioned to profit," said Waksman.

All CTA sectors but the Agricultural Traders Index remain in the black for the year-to-date through the end of August. The Cryptocurrency Traders Index continues to lead the way with a 58.61% gain. The MPI Barclay Elite Systematic Traders Index is up 12.47%, the Diversified Traders Index has advanced 8.60%, and the Systematic Traders Index has gained 7.94%.

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment, has gained 11.87% through the end of August.

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