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Managed futures lost 1.48 per cent in January, according to the Barclay CTA Index compiled by BarclayHedge.

“Unanticipated appreciation of the US dollar together with falling commodity and stock prices proved to be a toxic mix, resulting in January losses for 60 per cent of CTAs,” says Sol Waksman, founder and president of BarclayHedge.

Six of Barclay’s eight managed futures indices lost ground in January. Diversified traders fell 2.57 per cent, systematic traders lost 2.25 per cent, financial and metals traders slid 0.24 per cent, and currency traders were down 0.22 per cent.

“Continued concern that the recovery will be W-shaped rather than V-shaped weighed heavily on equity prices,” says Waksman. “Price declines for industrial metals, energy, and commodity-linked currencies all stemmed from a more pessimistic outlook for the economy.”

The only bright spot was the Barclay Agricultural Traders Index, which gained 1.69 per cent in January.

“In spite of a bearish mid-month USDA production report, agricultural traders were able to end the month on the plus side,” says Waksman.

The Barclay BTOP50 Index, which monitors performance of the largest traders, was down 1.56 per cent in January.


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