Wed, Mar 4, 2015
A A A
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

fg

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. Outlook - Philippe Jordan predicts 'alternative beta' to displace hedge funds, Stan Druckenmiller says Europe, Japan stocks will outpace U.S.[more]

    Philippe Jordan predicts 'alternative beta' to displace hedge funds From Investordaily.com.au: The disappointing performance of hedge funds in recent years is a result of "too much money chasing too little alpha", argues Capital Fund Management. Speaking to InvestorDaily, CFM partner Phi

  2. 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

  3. Investing - As rig count falls, hedge funds pile into long crude futures, Parus tactically shifts long/short exposure ratios, Mario Draghi outflanking Kuroda as bearish euro bets surge, Prime Capital’s 500.com bet derailed after 41% drop[more]

    As rig count falls, hedge funds pile into long crude futures From 247wallst.com: In the week ended February 27, the total number of rigs drilling for oil in the United States came in at 986, compared with 1,019 in the prior week and 1,430 a year ago. Including 281 other rigs mostly drill

  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