Against a backdrop of a September Swoon in equity markets, managed futures funds proved their mettle as a diversifying asset class. CTAs broadly returned 0.39% for the month, according to the Barclay CTA Index, compiled by BarclayHedge, a division of Backstop Solutions. September’s gains brought the managed futures sector’s year-to-date return to 5.25%.
All but two CTA subsectors were in positive territory for the month in September, led by the Discretionary Traders Index which returned 1.67%. Meanwhile, the MPI Barclay Elite Systematic Traders Index gained 1.43%, the Currency Traders Index advanced 0.76%, the Agricultural Traders Index was up 0.50% and the Diversified Traders Index returned 0.34%.
Two subsectors were in the red for September. With cryptocurrencies facing a difficult September – including China’s ban on all cryptocurrency activities – the Cryptocurrency Traders Index was down -4.60% for the month. Also losing ground in September was the Financial & Metals Traders Index which was off -0.43%.
All CTA subsectors but one were in the black for the year to date through September. Unshaken by September’s loss, the Cryptocurrency Traders Index is up a total of 114.34% over the period, while the MPI Barclay Elite Systematic Traders Index has gained 10.33% and the Discretionary Traders Index posted an 8.17% year-to-date return.
Other year-to-date gainers of note included the Diversified Traders Index, up 7.11%, and the Agricultural Traders Index, advancing 5.41% over the period.
The Financial & Metals Traders Index was alone in posting a year-to-date loss, down -0.07% through September.
“While cryptocurrencies suffered bearish sentiment and regulatory setbacks in September, conditions were kinder to the other CTA subsectors,” observed Ben Crawford, Head of Research at BarclayHedge. “There were great opportunities in energy and for shorts in agricultural commodities, industrial and precious metals. As a whole, the managed futures industry added another notch in its favor as an effective and reliable portfolio diversifier.”
The Barclay BTOP50 Index, which tracks the performance of the largest CTAs open for new investment, returned 0.89% in September. For the year to date the BTOP50 was up 8.41%.
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 6,900 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.