Well that didn’t work out like it looked it should around August 10th or so… when the Newedge CTA index was up about 1% for the month while stocks were getting hammered. Based on preliminary data from the Newedge CTA Index, Credit Suisse Dow Jones Core Managed Futures Index, and the performance of the CTAs we track here at Attain, we are estimating managed futures finished July down -1.95%, bringing YTD performance to -2.90%.
What happened to our crisis period performance? The quick answer is that one week does not make a month. The down week in nearly everything (except bonds) to start the month resulted in gains for managed futures, but with the bounce off of the August lows (about 15% in stock indices and energies) many of those short positions initiated that first week were suddenly underwater. It was a feast or famine month, with a wide spread even among systematic multi-market programs, with some up 7% to 8% and others down -3% to -4%. There were emerging managers that outperformed the index significantly, including Clarke Global Basic +7.19%, 2100 Xenon Managed Futures (2X) 5.50% , and Hoffman Asset +5.40% – where most of the gains came from long fixed income, long grains, and short stock index positions. And of course there were some casualties, including Dighton Capital losing over -60%, and option sellers seeing losses of between -10% and -40%.
All in all, a very interesting month to be involved in managed futures. Where we go from here will likely define the rest of the year for the asset class. Continued strength off of the August lows will likely cause September losses and make it tough for many programs to return to profitability for the year; while a re-test of the August lows and sustained move below those levels will likely result in gains through the fourth quarter. We’ll see what happens.
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The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.
Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history.
Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.
Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.
Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.
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