Despite a 0.14% gain in December, managed futures lost 3.05% in 2011 according to the Barclay CTA Index compiled by BarclayHedge.
“The slightly positive returns for December masked the volatility in the major market sectors,” says Sol Waksman (pictured), founder and president of BarclayHedge. “Equity markets reversed sharply at mid-month, commodity markets were down, and bond markets continued their long march upward.
“Overall, CTA performance has been remarkably positive over the past three decades. Since we began tracking managed futures performance in 1980, the Barclay CTA Index has had only five years of losses against 27 years of gains. Prior to 2011, the largest year-end loss was 1.19 percent in 1999.”
Even though four of Barclay’s eight CTA indices had positive returns in 2011, it was not enough to keep the overall Barclay CTA Index above water.
The Barclay Discretionary Traders Index gained 3.07% in 2011, Currency Traders were up 2.34%, Agricultural Traders gained 1.83%, and the Financial & Metals Traders Index added 0.40%.
On the losing side of the ledger, the Diversified Traders Index was down 5.56% for the year, and Systematic Traders gave up 3.75%.
The Barclay BTOP50 Index, which measures performance of the largest CTAs, lost 4.08% in 2011.