Managed futures, which had posted an average return of 8.88 per cent over the first half of 2008, slipped back 2.37 per cent in July, according to the Barclay CTA Index compiled by Fairfie
Managed futures, which had posted an average return of 8.88 per cent over the first half of 2008, slipped back 2.37 per cent in July, according to the Barclay CTA Index compiled by Fairfield, Iowa-based index provider BarclayHedge. However, the index remains up 7.58 per cent for the year to date, outpacing most hedge fund strategies and equity markets.
‘Price reversals in energy, metals, and agricultural markets were the primary causes of losses,’ says BarclayHedge founder and president Sol Waksman. ‘Corn prices dropped 20 per cent, natural gas plunged 32 per cent, and crude oil dropped USD30 from its July 11 high.’
Seven of Barclay’s eight managed futures indices saw declines last month. Diversified traders dropped 4.31 per cent and systemic traders 2.91 per cent, while discretionary traders lost 1.26 per cent and financial and metals traders 1.24 per cent.
‘The financial markets were also difficult to navigate in July,’ says Waksman. ‘Collapsing commodity prices focused investor concerns on a weakening economic environment and away from fears of inflation.’
The Barclay BTOP50 Index, which monitors performance of the largest traders, fell by 1.48 per cent in July but remains up 6.80 per cent for the first seven months of the year.
Founded as the Barclay Group in 1985, BarclayHedge tracks more than 6,800 hedge funds, funds of hedge funds and managed futures programmes and maintains 18 proprietary hedge fund and eight managed futures indices, providing data to clients including institutional investors, brokerage firms and private banks.