Sat, Feb 28, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Opalesque Futures Intelligence

Index Track: You may be surprised at the variation in returns...

Tuesday, February 10, 2009

Index Tracker

You May be Surprised at the Variation in Returns

Managed futures did phenomenally well in 2008, but exactly how well depends on which index you consult. Here is a selection of managed futures/commodity trading advisor indexes. The returns for the year range from around 10% to more than 20%--a significant range, with the high end of the spectrum about double the low end.

Indexes vary because databases from different vendors do not contain the same set of programs or managers. Databases vary in size as well, from a few hundred of CTA programs to thousands.

Another reason for the differences is methodology—some use assets under management to weigh funds in calculating the index, whereas others give all funds, large and small, equal weight. There are pros and cons for both methods and the choice depends on a user's needs. Using assets as weight means that the returns of larger programs dominate the index, which may work for users interested primarily in large programs but not for those assessing small ones.

The EDHEC index is not derived from a separate database but rather is a combination of several indexes. EDHEC, a French business school, calculates combination benchmarks using an analytical method to capture as much information as possible from available indexes, so the measure may represent a wider section of the industry.

Questions about index construction occur for all hedge fund strategies and even for widely used mainstream benchmarks—after all, even the Standard & Poor's 500 comes in market capitalization-weighed versus equal-weighted versions. Different indexes have advantages under different conditions.

Regardless of the index used, the fact remains that managed futures did spectacularly well compared to other investments. The only mainstream asset class that made gains high enough to be within the range of managed futures returns was—you guessed it, US Treasury bonds, with Barclays Capital US Treasury index making 13.7%.

2008 Performance
Barclay Hedge 14.6%
Credit Suisse/Tremont Managed Futures 18.3%
HedgeFund.Net CTA/MF Benchmark 12.2%
FTSE CTA MF Index 10.5%
Greenwich Futures 20.2%
Hennessy MF Index 16.2%
EDHEC CTA Global 15.6%
Other Asset Classes:
S&P 500 (-) 37%
MSCI EAFE (-) 43%
Barclays Capital US Aggregate Bond Index 5.2%
Barclays Capital US Treasury Index 13.7%



 
This article was published in Opalesque Futures Intelligence.
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Opalesque Futures Intelligence
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. Investing - Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched, Myriad hedge fund sold bulk of its Alibaba stake last year[more]

    Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched From Valuewalk.com: As hedge fund manager Seth Klarman, leader of the $28 billion Baupost Group, reviews 2014 performance and considers investors gained near 7 percent on the year, he cons

  2. Adamas Asset Management and Ping An Insurance to co-manage $500m debt fund[more]

    Komfie Manalo, Opalesque Asia: Hong Kong-based Adamas Asset Management and Ping An Insurance Group, one of China’s largest financial institutions, have finalized a memorandum of und

  3. Opalesque Exclusive: dbSelect’s top ten FX strategies average almost 10% in January[more]

    Benedicte Gravrand, Opalesque Geneva: In one of Deutsche Asset & Wealth Management (AWM)’s hedge fund platforms, called dbSelect, a number of FX Strategies did very well in January. dbSelect is a managed investment platform for unf

  4. Opalesque Exclusive: SEC’s Mark J. Flannery warns hedge funds against valuation misconduct[more]

    Komfie Manalo, Opalesque Asia: Securities and Exchange Commission chief economist and director of Division of Economic and Risk Analysis (DERA) Mark J. Flannery has warned of the risks posed by market misconduct, particularly in the true valuation of assets by hedge fund managers. In his

  5. Dymon Asia's $3bn macro hedge fund lost 10.45% in January[more]

    From Reuters.com: Dymon Asia's $3.1 billion macro hedge fund lost 10.45 percent in January, performance data seen by Reuters showed, a month where many peers lost heavily after a surprise rise in the Swiss franc. Singapore-based Dymon, set up by Danny Yong, a former founding partner and chie