CTAs Continue Rebound with Good October

After a volatile year, returns-wise as well as in markets, CTAs appear to be grabbing some solid ground as the year heads to a close, with the Barclay CTA Index rising nicely in October.

The headline index, managed by BarclayHedge, rose 1.09% in October with over 91% of funds reporting results, bringing the year-to-date performance to +1.36%. All sub-indices were in positive territory, except for the Cryptocurrency Traders Index, which dropped 3.94%, but which remains up 1.61% year-to-date.

Strongest performer, after a tumultuous year, came from the MPI Barclay Elite Systematic Traders Index, which rose 1.42%, however highlighting the toughness of the year for this segment, the index remains second-worst performer year-to-date (“beaten” only by Agri Traders) at -1.64%.

The broader Systematic Traders Index was +1.12% in October, broadly matching that of the Discretionary Traders Index (+1.11%), however on a year-to-date basis the outperformance of the latter is stark at +6.5% (best performer of the year), compared to -0.3%. Currency traders continued to fight back, but remain in the red on the year, the Currency Traders Index rose 0.76% in October, for -1.05% year-to-date.

The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, and has also had a rollercoaster year, had a similar experience, rising an estimated 0.78%, for +1.41% year-to-date.

Elsewhere, the SG Macro Trading Index rose 0.87% in October, for a healthy +7.82% year-to-date. Within this, the Quantitative Macro Trading Index rose 1.15%, outperforming the Discretionary Index, which was up 0.68%. On a year-to-date basis, however, discretionary continues to outperform systematic at +9.45% compared to +4.81%.