Managed Futures Funds Struggle in 2010
Tuesday, February 23, 2010

Managed futures funds lost 1.48% in January according to the Barclay CTA Index compiled by BarclayHedge.

“Unanticipated appreciation of the US Dollar together with falling commodity and stock prices proved to be a toxic mix, resulting in January losses for 60% of CTAs,” says Sol Waksman, founder and president of BarclayHedge.

Six of Barclay’s eight managed futures indices lost ground in January. Diversified Traders fell 2.57%, Systematic Traders lost 2.25%, Financial & Metals Traders slid 0.24%, and Currency Traders were down 0.22%.

“Continued concern that the recovery will be W-shaped rather than V-shaped weighed heavily on equity prices,” says Waksman.

“Price declines for industrial metals, energy, and commodity-linked currencies all stemmed from a more pessimistic outlook for the economy," he adds.

The only bright spot was the Barclay Agricultural Traders Index, which gained 1.69% in January.

“In spite of a bearish mid-month USDA production report, Agricultural Traders were able to end the month on the plus side,” says Waksman.

The Barclay BTOP50 Index, which monitors performance of the largest traders, was down 1.56% in January.

The BTOP50 Index seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure.

The BTOP50 employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50.

In each calendar year the selected trading advisors represent, in aggregate, no less than 50% of the investable assets of the Barclay CTA Universe. To be included in the BTOP50, the program must have at least two years of trading activity and the program's advisor must have at least three years of operating history.