Opalesque Industry Update: Managed futures gained 0.48% in December according to the Barclay CTA Index compiled by BarclayHedge. The Index ended 2012 with a loss of 1.64%.|
“The main drivers of returns last month were the uptrend in global equities and the continued weakening of the Japanese yen,” says Sol Waksman, founder and president of BarclayHedge.
Seven of Barclay’s eight CTA indices had a positive return in December. The Diversified Traders Index was up 0.58%, Systematic Traders gained 0.58%, Financial & Metals Traders added 0.57%, and Currency Traders gained 0.35%.
The only losing strategy in December was the Agricultural Traders Index, which was down 0.57% for the month.
“Wheat prices dropped 10.3 percent and corn lost 7.4 percent,” says Waksman. “It was costly if you were positioned on the wrong side of either of these moves."
The Barclay BTOP50 Index, which measures performance of the largest CTAs, gained 0.45% in December, but lost 1.84% in 2012.
The Agricultural Traders Index was up 9.82% at the end of August, but after four straight months of losses, ended the year with a return of 5.40%. CTAs trading Agricultural markets were still the most successful managers in 2012.
Currency Traders had a 1.59% return in 2012, and Discretionary Traders were up 1.39% at year end.
On the losing side of the ledger, the Diversified Traders Index gave up 3.94% in 2012, Systematic Traders lost 3.11%, and the Financial & Metals Traders Index was down 2.74%.
For the first time in 33 years, the Barclay CTA Index recorded losses for two years in a row, down 3.09% in 2011, followed by losses of 1.64% in 2012.
“Over the past two years, there have been primarily only two trades to make; either risk-on or risk-off,” says Waksman.
“The main market sectors for CTAs – equities, interest rates, currencies, and commodities – would see prices change direction based on unpredictable government actions and announcements. It’s been a difficult environment for traders.”