As we continue to get snow here in Chicago – closing in on 20 inches in past 24 hours – we can report that managed futures started out 2011 with a whimper… posting a return of -1.58% according to the Newedge CTA index.  Let’s hope there’s no January effect for managed futures as there is purported to be in stocks (as Jan goes, the year goes)

The culprits in January were the sell off in Gold and Silver, choppy conditions in energy markets, and a sideways bond market. The traditional, trend following managers whom did well in 2010 were the worst performers; while diversified option sellers whom struggled in 2010 performed best in Jan.