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Barclay CTA Index down -1.81 in June on ECB meeting, (+ 0.03% YTD)

Tuesday, July 17, 2012
Opalesque Industry Update: Managed futures lost 1.81% overall in June according to the Barclay CTA Index compiled by BarclayHedge. The Index is up 0.03% year to date.

“The month-end ECB agreement to make loans directly to eurozone banks drove prices in some of the major equity, currency, and commodity markets to their largest one-day moves of the year,” says Sol Waksman, founder and president of BarclayHedge.

On the negative side, Barclay Diversified Traders Index fell 2.89% in June, Systematic Traders lost 2.51%, and Financial & Metals Traders were down 0.56%.

“Momentum-based trend following traders typically take losses when markets reverse course sharply,” says Waksman.

On the positive side, Agricultural Traders gained 3.45% in June, and Discretionary Traders were up 1.40%.

“Drought fears in the US drove prices higher for agricultural commodities,” says Waksman.

After six months in 2012, the Barclay Agricultural Traders Index leads all managed futures strategies with a gain of 4.73%. Currency Traders are up 1.19% year to date, and Discretionary Traders have gained 0.84%.

The Diversified Traders Index is down 1.45% after two quarters, Financial & Metals Traders have lost 0.94%, and Systematic Traders gave up 0.81%.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, was down 1.50% in June. The BTOP50 was up 0.09% through June 2012.

BarclayHedge

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BM

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