After a positive third quarter managed futures managers erased their previous month’s strong result, ending December in negative territory, according to a report by Lipper Tass.
The strategy fell 3.80 per cent in December, almost cancelling out November’s gain, and fell 1.44 per cent for the fourth quarter.
Despite managed futures being the best performer for 2008, in 2009 the strategy was hammered by a lack of clear market direction and a surge of non-directional volatility.
As a result it was 2009’s second worst performing strategy (-3.17 per cent) after dedicated short bias (-24.44 per cent), according to the Lipper Managed Futures/CTAs index.
The degree of dispersion among individual fund returns further decreased from the previous month’s reading. A 33.19-percentage-point monthly performance difference in December divided the top and bottom performers of the actively reporting managers tracked by Lipper.
Managers with assets in excess of USD45m had a better average performance at minus 3.21 per cent month on month—60 basis points above the average reading for the strategy. Large managed futures managers fell 0.69 per cent on average for the 12-month period.
Global stock markets ended 2009 in positive territory, returning 1.83 per cent month on month (as measured by the MSCI World TR Index) and bringing annual performance to 30.79 per cent.
US stocks rose 1.93 per cent for December (26.46 per cent year on year), according to the S&P 500 TR Index, with small-cap shares leading the way.
The other two major US equity indices—the Dow Jones Industrials (+0.80 per cent) and the NASDAQ (+5.81 per cent)—also experienced a good month.
Despite easing from the previous month’s reading, emerging markets—posting 3.97 per cent for December—outpaced developed markets, with only five of the 22 emerging countries in the red. Among emerging markets Eastern Europe, the Middle East, and Africa were the best performing regions for the month, followed by Asia (Indonesia, Korea, Taiwan, and Thailand).
Funds that overweighted Turkey performed well; Turkey (+19.65 per cent) was the only country posting a double-digit gain. BRIC members also performed well, led by India (+3.45 per cent) and Russia (+3.28 per cent).
Managers who maintained short positions in the US dollar were hurt by a strong reversal of the dollar in December. After being sold off for most of 2009 the US dollar rose to its highest level against other major currencies since August 2009, following jobless claims’ falling to their lowest level since mid-2008. Against a basket of currencies ICE Futures US Dollar Index (a trade-weighted geometric average of six currencies) was up 4.11 per cent for December, yet it was down 4.06 per cent for 2009.
On the other hand, the Australian and New Zealand dollars were among the best performers for 2009 of the major currencies, appreciating 26.85 per cent and 24.13 per cent, respectively, against the greenback.
Commodities advanced 2.16 per cent for December and posted a gain of 9.25 per cent for the fourth quarter, according to the Reuters/Jefferies CRB Index; industrial metals (with aluminum, nickel, and zinc driving the rally) and soft commodities sustained the performance of the index.
Nonetheless, managed futures’ performance was dragged down by a correction in the precious metals—gold (-7.28 per cent) and silver (-9.06 per cent)—and in other commodities, triggered by a recovery in the value of the US dollar. Oil (-0.02 per cent) dropped, while natural gas (+13.47 per cent) gained ground.
Commodities had a notable year; the Reuters/Jefferies CRB Index posted an impressive return of 23.46 per cent, led by the industrial metals (+82.42 per cent) and soft commodities (+49.89 per cent) sectors. Gold (+22.86 per cent) posted an all-time high in 2009 as a result of rising investor interest and a weaker dollar.
Copper prices soared 135.76 per cent year on year, boosted by enormous stockpiling in China. Moreover, news of supply constraints on shutdowns at two of Chile’s biggest mines caused further strong upward copper price movement.
Crude oil finished the year up 7.15 per cent, while natural gas (-55.36 per cent) was dampened by elevated production levels and high natural gas storage supplies.
