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Managed futures returns slip even lower in February, says Lipper

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Managed futures posted a negative 0.47 per cent return on average in US-dollar terms and minus 2.33 per cent since the beginning of the year, according to the Lipper Tass Flash Estimate

Managed futures posted a negative 0.47 per cent return on average in US-dollar terms and minus 2.33 per cent since the beginning of the year, according to the Lipper Tass Flash Estimate Report.

Most of the managed futures managers had also suffered in January, with the sub-strategy posting minus 1.89 per cent on average.

Resembling the January pattern, Managed Futures managers with assets in excess of USD45m returned a slightly better average reading in February at minus 0.19 per cent month on month – 28 basis points above the average reading for the category.

Markets in February to some extent resembled January’s pattern, with shorter-term trend followers failing to generate profits under the sustained volatility patterns. Diversified systematic managers posted positive returns on average, while fundamental managers struggled.

Short trading positions on stock market indices were profitable as the macro picture pointed to a deepening global recession. Similarly, short positions on soft commodities contributed to lifting portfolio performance as supply-side factors weighed and a strengthening US dollar eroded global demand in the sector.

Despite a declining price pattern in February, short positions in grains and oilseeds were offset by price rallies triggered by renewed interest in biofuels, production concerns in Brazil, and a disappointing rain-season forecast in Argentina.

The rally of gold, silver, and aluminium in February benefited mainly technical traders as silver and gold eased at the end of the month. Gold, in particular, dropped 3.74 per cent at the end of the month from the peak on 20 February.

The gains in currencies (mainly ascribable to long US-dollar positions) were partially cancelled out by losses on short positions in the energy sector as crude oil and natural gas prices ended higher.

Bond market traders reversed their stance throughout the month. Long positions in both the short-end and the longer-end segments of the curve were reversed early in February as the US government oversupplied markets with new debt issuance.

Despite safe haven drivers at the end of the month as risk aversion mounted and liquidation of non-US dollar denominated debt increased, the US yield curve showed a steepening bias at the end of February, with the 30-year/two-year yield spread increasing eight basis points from January’s month end.

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