We are estimating the main Managed Futures indices were up between 1.75% and 2.50% in October, with the Newedge CTA Index up 1.86% as of 10/28 and most multi-market managers we follow up slightly through the 31st. This would mark the third consecutive month of gains for managed futures behind continued trends in grains, foreign currencies, and softs.

Highlights amongst the CTAs tracked by Attain include Rosetta Capital Management posting a +14% gain in October to push their YTD returns to just under 30%. Rosetta is a discretionary trader in the agriculture sector (Grains and Livestock) that relies on fundamental market analysis – and has greatly enjoyed outlier rallies in Wheat, while also spreading markets such as long Corn and short Lean Hogs, to push Rosetta to new all time highs.

Elsewhere, the aforementioned outlier months have not been kind to diversified option selling programs which sell into such moves, with FCI’s Option Selling Strat. and the HB Capital Management, Inc. Diversified programs suffering losses in October.

Check tonight’s newsletter for a full breakdown of October performance for those managed futures programs Attain tracks.