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“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

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