Managed futures gained 1.48 per cent in August, according to the Barclay CTA Index compiled by BarclayHedge.
“Continued weakness in sales of US residential properties and high jobless claims teamed up to diminish investor risk appetites,” says Sol Waksman, founder and president of BarclayHedge.
“Global equity prices declined in both developed and emerging markets while the rally in bond markets continued. The yield on the ten-year US treasury note fell to 2.5 per cent in August.”
Seven of Barclay’s eight CTA indices had gains in August. The Barclay Diversified Traders Index gained 2.36 per cent, systematic traders rose 1.86 per cent, financial and metals traders were up 1.35 per cent, and agricultural traders gained 0.94 per cent.
“Although sharp declines across the energy sector drove the Reuters-CRB Commodity Index almost four percent lower in August, prices for precious and base metals as well as for grains were mostly higher,” says Waksman.
The largest managed futures traders performed especially well in August, pushing the Barclay BTOP50 Index up by 2.85 per cent. This is the best monthly return for the BTOP50 Index since October of 2008.
Currency traders were the only losing strategy, down 0.17 per cent in August.
“Investors turning away from risk in the currency markets created treacherous cross-currents,” says Waksman.
“The US dollar gained sharply against currencies perceived as weak, such as the Euro and the Canadian dollar, while losing significant ground to perceived safe havens such as the Yen and the Swiss Franc.”
