Wed, Jul 30, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Barclay CTA Index Up 0.14% in December, Down 3.05% in 2011 - Largest Loss for Managed Futures in 32 Years

Thursday, January 19, 2012

Sol Waksman
Opalesque Industry Update – Despite a 0.14% gain in December, managed futures lost 3.05% in 2011 according to the Barclay CTA Index compiled by BarclayHedge.

“The slightly positive returns for December masked the volatility in the major market sectors,” says Sol Waksman, founder and president of BarclayHedge. “Equity markets reversed sharply at mid-month, commodity markets were down, and bond markets continued their long march upward.”

“Overall, CTA performance has been remarkably positive over the past three decades,” says Waksman. “Since we began tracking managed futures performance in 1980, the Barclay CTA Index has had only five years of losses against 27 years of gains. Prior to 2011, the largest year-end loss was 1.19 percent in 1999.”

Even though four of Barclay’s eight CTA indices had positive returns in 2011, it was not enough to keep the overall Barclay CTA Index above water.

The Barclay Discretionary Traders Index gained 3.07% in 2011, Currency Traders were up 2.34%, Agricultural Traders gained 1.83%, and the Financial & Metals Traders Index added 0.40%.

On the losing side of the ledger, the Diversified Traders Index was down 5.56% for the year, and Systematic Traders gave up 3.75%.

TheBarclay BTOP50 Index, which measures performance of the largest CTAs, lost 4.08% in 2011.

Click here to view 32 years of Barclay CTA Index data.

(press release)

BarclayHedge was founded in 1985 and actively tracks more than 6,100 hedge funds, funds of hedge funds, and managed futures programs. Each month Barclay provides updated performance rankings for 38 Hedge Fund categories, 16 CTA categories, and 7 UCITS categories.

BG

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing
  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Roundtable: Success in hedge fund marketing not linked to performance, but investor appetite[more]

    Komfie Manalo, Opalesque Asia: Success in marketing a fund is not linked to the performance, but to investor appetite, to the way you can market the fund, and to how much time you can spend to raise assets, said Antoine Rolland, the CEO of incubator and seeding firm

  2. Hedge fund manager Winton Capital making headway with long-only strategy[more]

    From PIonline.com: North American investors are helping Winton Capital Management Ltd. make progress — albeit slowly — toward its founder's goal of becoming a $100 billion company. The firm's ticket to quadrupling its assets under management is unlikely to be one of its scientifically designed manag

  3. Opalesque Radio: Now is a good time to buy protection cheaply in the options market[more]

    Benedicte Gravrand, Opalesque Geneva: Investors are showing an increased interest in risk parity funds and strategies, Opalesque reported last year. Risk parity strategies have the

  4. The Big Picture: Charlemagne Capital smoothes risk out of frontier market investing with portfolio approach[more]

    Benedicte Gravrand, Opalesque Geneva: Opalesque recently talked to one of the portfolio managers of the Oaks funds, which are emerging and frontier market hedge funds focusing on equity long/short with a directional approach. They are run by

  5. Winton’s low-cost equities fund tops $1bn for first time[more]

    From FT.com: Winton, the London-based hedge fund, has increased the assets in its low-cost equities fund to more than $1bn for the first time in a sign that traditional stock managers may come under increasing pressure from computer-driven rivals. Winton, which manages about $25bn in total ass