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Managed futures fall -1.31% in June; CTA performance weak after two quarters

Tuesday, July 19, 2011
Opalesque Industry Update - Managed futures lost 1.31% in June according to the Barclay CTA Index compiled by BarclayHedge. Year-to-date, the Barclay CTA Index is down 1.51%.

Seven of Barclay’s eight CTA indices had losses in June. The Barclay Diversified Traders Index dropped 2.24%, Systematic Traders were down 1.97%, Agricultural Traders lost 0.11%, and Currency Traders were down 0.35%.

“The only thing that went up in June was volatility,” says Sol Waksman, founder and president of BarclayHedge. “Three major trends are creating a deep underlying uncertainty that is driving this volatility.”

“The first issue is loose money in developed markets in an attempt to bolster business growth. The second is aggressive tightening in emerging markets to ward off inflation. And finally, we have the inability of political leaders in the US and Europe to come to grips with the seriousness of the deficit issues their nations are facing.”

Year-to-date, only three managed futures strategies are in positive territory. The Barclay Discretionary Traders Index has gained 1.96%, Agricultural Traders are up 2.15%, and Currency Traders have gained 0.72%.

Diversified Traders have lost 3.34% in the first two quarters of 2011, and Systematic Traders are down 3.14%. The Financial/Metal Traders Index is nearly even, with a loss of 0.06%.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, lost 1.09% in June, and is down 2.88% after six months in 2011.

(press release)

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