The managed futures industry reversed course in February, turning from January’s gains into negative monthly territory losing 0.22%, according to the Barclay CTA Index compiled by BarclayHedge, a division of Backstop Solutions. CTAs remain in the black for the year-to-date, however, returning 0.34% through the end of February.
“After making record highs in the first half of February, economic concerns driven by coronavirus fears dragged US and European stock markets sharply lower at month’s end,” said Sol Waksman, president of BarclayHedge. “While the virus took its toll on equity markets, holdings in other market sectors were more favorably impacted. Many momentum managers came into the month with long positions in interest-rate instruments and short positions in energy markets and saw those positions increase in profitability.”
The industry-wide index gives a bit of a misleading picture of February returns. In fact, more of the CTA sub-sectors had gains rather than losses for the month.
The Currency Traders Index led the way among sectors posting gains in February with a 1.94% return. Other gainers included the Cryptocurrency Traders Index, up 1.78%, Agricultural Traders Index, gaining 0.12%, and the the Discretionary Traders Index, returning 0.07%.
Losing ground in February were the MPI Barclay Elite Systematic Traders Index, off 2.07%, the Financial & Metal Traders Index, down 0.33%, the Diversified Traders Index, down 0.15% and the Systematic Traders Index losing 0.11%.
Most sectors were in the black for the year-to-date through the end of February. The Cryptocurrency Traders Index set the pace, up 19.07%, followed by the Currency Traders Index, returning 3.19%, the Financial & Metal Traders Index, gaining 1.31%, and the Systematic Traders Index, up 0.88%.
In the red for the year-to-date were the MPI Barclay Elite Systematic Traders Index, down 1.68% through February, and the Discretionary Traders Index, off 0.75% on the year.
The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment, was down 1.30% in February and was down 1.16% year-to-date as the month ended.
For a complete table of Barclay CTA Index results as well as historical data, click here.
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BarclayHedge, a division of Backstop, currently maintains data on more than 7,100 hedge funds, funds of funds and CTAs. The BarclayHedge Indices are utilized by institutional investors, brokerage firms and private banks worldwide as performance benchmarks for the hedge fund and managed futures industries.
BarclayHedge division of Backstop Solutions Group