FAIRFIELD, Iowa, January 19, 2010– Managed futures lost 1.43% in December and CTAs ended the year down 0.10% according to the Barclay CTA Index compiled by BarclayHedge.
“Unexpected trend reversals in December erased much of November’s profits,” says Sol Waksman, founder and president of BarclayHedge.
Six of Barclay’s eight managed futures indices were down in December. Diversified Traders lost 2.08%, Systematic Traders fell 2.05%, and Financial & Metals Traders slid 1.32%.
“The sell-off in global fixed income futures, coming on the heels of November’s rally, caught many trend traders off balance and helped to set the stage for a down month,” says Waksman.
“The currency markets saw significant reversals as the US Dollar strengthened and the Japanese Yen weakened in December.”
On the positive side, the Barclay Discretionary Traders Index gained 0.79% in December, and Agricultural Traders added 0.33%.
“Discretionary Traders led the pack in 2009 with a 2.13 percent gain. However, this was their poorest performance since 2001 when they lost 0.11 percent,” says Waksman.
Currency Traders were up 0.60% for the year and Financial & Metals Traders squeaked out a 0.16% gain.
Diversified Traders gave up 3.20% in 2009, Systematic Traders were down 3.19%, and Agricultural Traders lost 1.25%.
“No managed futures strategy either gained or lost very much in 2009,” says Waksman. “At year end, returns of our eight managed futures strategies ranged from a 2.13 percent gain to a 4.70 percent loss.”
“This comes at the end of a decade during which we saw a 26.55 percent annual gain by Diversified Traders in 2008, and an 11.75 percent loss by Agricultural Traders in 2001.”
The Barclay BTOP50 Index, which monitors performance of the largest traders, was down 2.39% in December and lost 4.70% in 2009.
“Although our research shows that the larger CTAs have outperformed their smaller brethren over the past 13 years, in 2009 the loss in the BTOP50 Index exceeded the loss of the broader Barclay CTA Index by 4.60 percent,” says Waksman.
Click here to view 30 years of Barclay CTA Index data.
Sol Waksman is an experienced media source, providing perspectives on hedge fund and managed futures trends. For quotes, commentary or background, call 641-472-3456 or email swaksman@barclayhedge.com.
BarclayHedge (formerly The Barclay Group) was founded in 1985 and actively tracks more than 6,000 hedge funds, funds of hedge funds, and managed futures programs. Barclay has created and regularly updates 18 proprietary hedge fund indexes and eight managed futures indexes.
Institutional investors, brokerage firms and private banks worldwide utilize BarclayHedge data as performance benchmarks for the hedge fund and managed futures industries.