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Opalesque Futures Intelligence

Managed Futures Index Spotlight

Tuesday, September 17, 2013

iSTOXX Efficient Capital Managed Futures 20 Index

The iSTOXX Efficient Capital Managed Futures 20 Index was down -1.78% in August. All four styles were negative on the month with FX programs struggling the most, generating a loss of -3.0%. Long term, global macro and short term managers posted losses of -2.3%, -1.1% and -0.8% respectively. Markets were initially driven by tapering concerns in the U.S. but focus quickly shifted to the escalating conflict in Syria over the latter portion of the month as fears of a potential US military action drove risk aversion. After posting new all-time highs early in the month, the S&P suffered sharp losses and posted its worst monthly return in over a year. Yields in the U.S. rose steadily with continued expectations that the FED would soon taper its monthly asset purchases. Divergence among central bank policies drove the U.S. dollar higher against most currencies, particularly against those of emerging markets. Commodity markets rallied throughout the month led by gains in soybeans and brent oil as dry weather in North America and increased geopolitical risk in the Middle East drove markets higher. Year-to-date, the index is down -2.88% with only 6 of the managers positive and all four styles in negative territory.

iSTOXX® Efficient Capital® Managed Futures 20 Index • January 2001 through August 2013

The index sponsor, STOXX Limited, Switzerland, does not promote any financial instruments which reference to the iSTOXX® Efficient Capital® Managed Futures 20 Index.

Past results are not necessarily indicative of future results. This is not a solicitation for investment and does not describe all associated risks. Opinions expressed are Efficient Capital's and Opalesque's opinions only

This article was published in Opalesque Futures Intelligence.
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