The books are officially closed on the first month of 2012, and the performance we saw in managed futures was pretty lackluster.  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 as an asset class finished January down -0.30%.

What contributed to the whimper of a month for managed futures?  Mostly a whimper of a month for volatility in markets CTAs trade. Stock indices saw their lowest volatility in months with the Fed hinting at what Bill Gross called QE 2.5, while a surge in metals and foreign currencies was mostly not to managed futures liking. This steady move upwards in most markets gave option sellers the nice volatility-less edge they needed, while a mid-month reversal in bonds and grains left trend followers flapping in the wind.