Managed futures gained 0.24 per cent in June, according to the Barclay CTA Index compiled by BarclayHedge.
The index is down 1.04 per cent for the first six months of 2010.
“Risk aversion driven by concerns of a ‘double-dip’ recession helped push global bond prices higher again in June, providing profitable trading opportunities for managers favouring the long side of the interest rate markets,” says Sol Waksman, founder and president of BarclayHedge.
Four of Barclay’s six managed futures sectors had gains in June.
The Barclay Financial & Metals Traders Index was up 0.28 per cent, discretionary traders gained 0.14 per cent, agricultural traders were up 0.10 per cent, and diversified traders rose 0.09 per cent.
Currency traders had a difficult month, as the Barclay Currency Traders Index lost 0.51 per cent in June.
“Although the Euro continued its downtrend against the US Dollar, solid rallies in Yen, Sterling and Swiss Franc exchange rates versus the Dollar created tricky cross-currents for traders to navigate,” says Waksman.
The largest managed futures traders lost ground in June, falling 0.36 per cent as measured by the Barclay BTOP50 Index. The BTOP50 is down 1.27 per cent after six months.
Currency traders are up 2.13 per cent after the first two quarters of 2010, and agricultural traders have gained 2.11 per cent. Diversified traders have lost 2.90 per cent year-to-date, and systematic traders are down 1.53 per cent.
“During the first half of 2010, diversification across the various market sectors has not been beneficial for CTAs,” says Waksman. “The best performance has been in currencies and the agricultural sector.”
