Managed futures lost 0.69 per cent in September, according to the Barclay CTA Index compiled by BarclayHedge.

The index remains up 0.51 per cent year to date.

“A second month of rising equity prices generated profits for momentum-based managers, but losses in commodity and interest rates markets had a greater impact on portfolio returns in September,” says Sol Waksman, founder and president of BarclayHedge.

Seven of Barclay’s eight CTA indices had losses in September. The Barclay Agricultural Traders Index gave up 1.66 per cent, systematic traders were down 0.86 per cent, diversified traders lost 0.84 per cent, financial and metals traders were down 0.60 per cent, and discretionary traders lost 0.49 per cent.

“Overall, 61 per cent of managed futures funds have reported negative returns for September,” says Waksman. “The average loss for the month was 2.76 per cent for those CTAs with a negative return.”

The one profitable strategy this month was the Barclay Currency Traders Index, which gained 0.19 per cent.

At the end of three quarters in 2012, agricultural traders are up 7.64 per cent, discretionary traders have gained 2.67 per cent, and currency traders have a 1.22 per cent return.

On the negative side of the ledger, financial and metals traders are down 1.86 per cent year to date, systematic traders have lost 0.60 per cent, and diversified traders are down 0.47 per cent.