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Alternative Market Briefing

CTAs seize July's choppy markets

Tuesday, August 14, 2012

amb
Paul Netherwood
Benedicte Gravrand, Opalesque Geneva:

Macro CTA managers captured strong trending dynamics across multiple asset classes, pushing Hedge Fund Research's HFRI Macro: Systematic Diversified Index to a gain of 2.77% in July (1.80% YTD) - whereas the HFRI Fund Weighted Composite gained 1.05% and 2.88% YTD.

According to Eurekahedge, another data provider, CTA/managed futures funds witnessed the best monthly return in July since December 2010, as the Eurekahedge CTA/Managed Futures Hedge Fund Index gained 2.46% (1.81% YTD). The UCITS Alternative CTA Index was the best performer among its family of indices too, up 2.67% and 0.60% YTD.

This is all good news for the CTA club, since many have made negative returns in the first half of the year.

As reported by Opalesque last week, after a strong start in January, CTA losses in March eliminated any early gains and pushed the strategy into negative territory. According to Newedge, a French financial services group, CTAs rebounded in May, only......................

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