Tue, Jul 7, 2015
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 Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Opalesque Exclusive: New systematic strategy embraces machine learning[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The founder of a New York-based systematic trading firm, which offers a hybrid between alpha strategies and alternative feta at lower fees, describes his approa

  3. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  4. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  5. Hedge funds decline in June as stocks tumble on Greek woes[more]

    From Bloomberg.com: Hedge funds posted losses across strategies last month as uncertainty over whether Greece will remain in the euro sent global stock markets tumbling. Winton Capital Management declined about 3.1 percent in June in its $12.1 billion Winton Futures Fund, leaving it down 1.9 percent

 

banner