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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