Barclay CTA Index Up 7% In Q1

by Phillip Morton, Investors Offshore.com

15 April 2008

While many hedge fund managers lick their wounds after perhaps the worst first quarter performance in the industry's history, CTA funds (commodity trading advisers, also known as managed futures managers), have emerged triumphant according to the BarclayHedge CTA Index, which returned 7.09% in the first three months of the year.

The Barclay CTA Index slipped slightly in March, a month it ended down by 0.36%, but Sol Waksman, founder and president of BarclayHedge, says that nearly 57% of the CTAs on the Barclay platform were profitable in March.

“This is a significant achievement, considering the abrupt price reversals in commodity markets on March 19th, when crude oil dropped 4.5% and gold fell 5.9% in one day," he observed.

Agricultural traders lost 3.51% in March, and discretionary traders were down 0.91%.

“The challenge that agricultural traders face is that there are limited opportunities for diversification within an agricultural portfolio,” noted Waksman.

“Despite the fact that most grains have been in a sustained uptrend for the past 18 months, agricultural traders can still be hurt when prices across the sector drop suddenly," he added.

Although diversified traders lost 0.99% in March, the Index has returned 13.92% in the first three months of 2008.

Barclay’s Currency Traders Index gained 0.56% in March, and Financial/Metals Traders rose 0.23%.

“Continued divergence between interest rates in the US and Europe has created profitable trading opportunities in the financial markets,” stated Waksman.

“This interest rate divergence has also helped to drive the US dollar down, marking new lows against both the euro and the Japanese yen, and providing currency traders with opportunities to profit," he concluded.

The Barclay BTOP50 Index, which monitors performance of the largest traders, slipped 0.52% in March, but is still up 4.96% for the quarter.

BarclayHedge actively tracks more than 6,600 hedge funds, fund of hedge funds, and managed futures programs. Barclay has created and regularly updates 18 proprietary hedge fund indexes and eight managed futures indexes.

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