Managed futures lost 0.57 per cent in July, according to the Barclay CTA Index compiled by BarclayHedge.
The index is down 1.58 per cent year to date.
“Bernanke’s reaffirmation of a prolonged period of low US interest rates rallied precious and base metals while weakening the USD,” says Sol Waksman, founder and president of BarclayHedge. “Unfortunately many CTAs found themselves on the wrong side of these markets in July.”
Five of Barclay’s eight CTA indices had losses in July. The Diversified Traders Index lost 0.87 per cent, Systematic Traders gave up 0.73 per cent, and Currency Traders were down 0.45 per cent.
On the positive side, the Barclay Agricultural Traders Index gained 0.76 per cent, Discretionary Traders were up 0.29 per cent, and Financial & Metal Traders added 0.23 per cent.
“Profitable trades on the long side of equity and energy markets and the short side of grain markets provided some relief from the trend reversals in other sectors,” says Waksman.
Year to date, Currency Traders are up 1.31 per cent, and Agricultural Traders have gained 0.37 per cent.
The Diversified Traders Index has lost 2.16 per cent through July, Systematic Traders are down 1.09 per cent, and Discretionary Traders have lost 0.29 per cent.