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Managed futures lose 0.10 per cent in 2009


Managed futures lost 1.43 per cent in December and CTAs ended the year down 0.10 per cent, according to the Barclay CTA Index compiled by BarclayHedge.

Six of Barclay’s eight managed futures indices were down in December. Diversified traders lost 2.08 per cent, systematic traders fell 2.05 per cent, and financial and metals traders slid 1.32 per cent.

“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 Sol Waksman, founder and president of BarclayHedge.

“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 per cent in December, and agricultural traders added 0.33 per cent.

“Discretionary Traders led the pack in 2009 with a 2.13 per cent gain. However, this was their poorest performance since 2001 when they lost 0.11 per cent,” says Waksman.

Currency traders were up 0.60 per cent for the year and financial and metals traders squeaked out a 0.16 per cent gain.

Diversified traders gave up 3.20 per cent in 2009, systematic traders were down 3.19 per cent, and agricultural traders lost 1.25 per cent.

“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 per cent gain to a 4.70 per cent loss.”

“This comes at the end of a decade during which we saw a 26.55 per cent annual gain by diversified traders in 2008, and an 11.75 per cent loss by agricultural traders in 2001.”

The Barclay BTOP50 Index, which monitors performance of the largest traders, was down 2.39 per cent in December and lost 4.70 per cent 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 per cent,” adds Waksman.

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