Managed futures lost 0.33 per cent in August, according to the Barclay CTA Index compiled by BarclayHedge.
The index remains up 1.34 per cent year to date.
“Continuation of the three-month uptrends in equity and commodity markets generated profits for many traders, but not enough to overcome the losses caused by trend reversals in currency and bond markets,” says Sol Waksman, founder and president of BarclayHedge.
Six of Barclay’s eight CTA indices had losses in August. The Barclay Systematic Traders Index was down 0.70 per cent, currency traders gave up 0.51 per cent, diversified traders lost 0.49 per cent, and financial and metals traders slid 0.39 per cent.
“Currency traders were hard hit by an unexpected 2.2 percent counter trend rise in the Euro in anticipation of central bank intervention,” says Waksman. “Weakness in the Chinese economy spurred a 1.5 per cent decline in the Aussie which had previously been a beneficiary of China's demand for commodities.”
On the positive side, agricultural traders gained 1.39 per cent, and discretionary traders were up 0.69 per cent in August. The Agricultural Traders Index has been the most profitable managed futures strategy in 2012 with an overall gain of 9.82 per cent. Discretionary traders have gained 3.31 per cent year to date.
“Prices for agricultural commodities have been driven upward by a severe drought in the US which has devastated corn yields,” says Waksman.
The one losing managed futures strategy in 2012 is the Financial & Metals Traders Index, which is now down 0.70 per cent.
The Barclay BTOP50 Index, which measures performance of the largest CTAs, lost 1.14 per cent in August.