Managed Futures Returns Lose Ground

by Carla Johnson, Investors Offshore.com

16 March 2007

Most managed futures strategies lost ground in February, according to The Barclay Group, the hedge fund tracking firm.

Overall, the Barclay CTA Index was down 0.77% for the month. Year to date, the Barclay CTA Index has gained 0.19%.

“Volatility increased dramatically during the final days of February,” says Sol Waksman, founder and president of The Barclay Group.

“As stock markets tumbled, investors sought safety and drove US interest rates lower," he added.

Systemic Traders lost 1.21% in February, Diversified Traders fell 1.01%, the Financial and Metals Index was down 0.60%, and Currency Traders lost 0.31%.

“The sharp increase in the value of the Japanese yen at month-end hurt currency players who were long the ‘carry trade,'" Waksman notes.

Two sectors did perform well in February. Barclay’s Discretionary Traders Index gained 1.18%, and the Agricultural Traders Index was up 0.97%. Agricultural Traders have gained 2.72% during the first two months of 2007.

“Rallies in the soybean and live cattle futures markets were beneficial to traders in the agricultural markets," says Waksman.

The Barclay BTOP50 Index, which monitors performance of the largest CTAs, dropped 0.40% in February.

The Barclay Group, founded in 1985, actively tracks more than 6,000 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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