Sat, Oct 10, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Barclay CTA Index down 0.33% in August (+1.34% YTD)

Wednesday, September 19, 2012
Opalesque Industry Update - Managed futures lost 0.33% in August according to the Barclay CTA Index compiled by BarclayHedge. The Index remains up 1.34% year to date.

“Continuation of the three-month uptrends in equity and commodity markets generated profits for many traders, but not enough to overcome the losses caused by trend reversals in currency and bond markets,” says Sol Waksman, founder and president of BarclayHedge.

Six of Barclay’s eight CTA indices had losses in August. The Barclay Systematic Traders Index was down 0.70%, Currency Traders gave up 0.51%, Diversified Traders lost 0.49%, and Financial & Metals Traders slid 0.39%.

“Currency traders were hard hit by an unexpected 2.2 percent counter trend rise in the Euro in anticipation of central bank intervention,” says Waksman.

“Weakness in the Chinese economy spurred a 1.5 percent decline in the Aussie which had previously been a beneficiary of China's demand for commodities.”

On the positive side, Agricultural Traders gained 1.39%, and Discretionary Traders were up 0.69% in August.

The Agricultural Traders Index has been the most profitable managed futures strategy in 2012 with an overall gain of 9.82%. Discretionary Traders have gained 3.31% year to date.

“Prices for agricultural commodities have been driven upward by a severe drought in the US which has devastated corn yields,” says Waksman.

The one losing managed futures strategy in 2012 is the Financial & Metals Traders Index, which is now down 0.70%.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, lost 1.14% in August.

Click here to view 32 years of Barclay CTA Index data: Source


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. U.S. hedge funds prepare for worst finish this year since 2008[more]

    Komfie Manalo, Opalesque Asia: U.S.-focused hedge funds are preparing for their worst year since the 2008 global financial crisis, following a series of letdown including the market sell-off in August and the sell-off in healthcare and biotechnology sectors last month, reported

  2. Investing - AQR Capital and Renaissance Technologies raise stakes in Southwest Airlines[more]

    From In the previous part of this series, we saw how institutional investors played Southwest Airlines (LUV) in 2Q15. Now let’s move on to the trades executed by key hedge funds in Southwest Airlines over the same period. … Most of the hedge funds that had significant exposu

  3. Manager Profile - Pimco alternative funds flourish as 30-year bond rally fades[more]

    From Inside Pacific Investment Management Co., the bond behemoth that lost two chief investment officers last year and saw almost $500 billion of client money leave, a hidden profit engine is easing some of the pain. For more than a decade, Newport Beach, California-based Pimco has qu

  4. Niche Investing - Art investment funds: Attracting institutional and other new investors[more]

    From The Deloitte/ArtTactic Art and Finance Report 2014 (the "Art and Finance Report") noted that the "global art investment fund market was estimated to be worth at least $1.26 billion in the first half of 2014." This seems almost inconsequential when juxtaposed with the $54 billion of

  5. DoubleLine’s Jeffrey Gundlach warns of another round of market shakedown[more]

    Komfie Manalo, Opalesque Asia: DoubleLine Capital co-founder Jeffrey Gundlach is painting a bleak future as he warned that the U.S. equity market and other risk markets, such as high-yield "junk" bonds, are facing another round of selling pressure. Gundlach said in an interview with