Bailey McCann, Opalesque, New York:
CTAs have had a rough ride this year. After a strong start in January, losses in March eliminated any early gains and pushed the strategy into negative territory. New research from Newedge CTA Indices shows that CTAs rebounded in May, only to have the worst month since October 2011, in June. According to the report, the last trading day in June had the worst single day performances for the indices since May 2011, with the Newedge CTA Index losing -1.73%, and the Trend Sub Index losing -3.12%. The Newedge CTA Index finally ended down -0.83% for the first six months.
Other notable findings in the report include, March to 20th April which saw the Newedge CTA Index down 5 weeks running, which is particularly unusual. This has only happened 5 times since index inception in January 2000, and the last time was December 2009. Also during a similar period, "11 week period spanning March, April, and May 2012, the Newedge CTA Trend Sub Index had negative performance in 9 out of 11 weeks. This is also extremely unusual, only having been observed twice before in the index data: Apr/May/Jun 2004, and Mar/Apr/May 2009," the report says.
Despite these broad based fluctuations in the strategy, investor inflows continue according to James Skeggs, Head of Research EMEA – Alternative Investment Solutions Prime Clearing Services, Newedge, "there has been a lot of money coming in, to the top managers but we are also seeing money trickle down to small......................
To view our full article Click here