Managed Futures as an asset class closed out a strong second half of the year with gains of +3.27% in December to push the Newedge CTA index measuring managed futures performance to a gain of +9.20% for the year. [Past performance is not neccessarily indicative of future results]

As you can see from the plot of daily returns for the Newedge index presented here, it looked more like a repeat of 2009’s poor performance (the first ever losing year for the Newedge CTA index) in the first half of the year, with the index making lows in February and hovering on either side of zero throughout July as most markets took their cue from US stock indices which were locked in a range.

But a rally in global bond prices (yields lower) in August took most systematic managed futures programs long that sector, and prefaced a return of trends in several markets including grains, foreign currencies, softs, and especially metals. Then it was short dollar/long everything else that was working in September and October, then losses in November as the Dollar rebounded, before longs in metals and commodity currencies (CD, AD) carried programs in December.

Coming off of a down year, and considering the continued drop of volatility as measured by the VIX (back to pre financial crisis levels), and the reversal of bonds and the US Dollar later in the year against most manager’s positions, and that stock indices were ahead for the year – to see gains of 9.20% is none too shabby in our opinion.  We will get into more detail in our 2011 Managed Futures Outlook newsletter next Monday.