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Barclay CTA Index Slips 0.87% in June; Volatility Chops Both Long and Short Traders

FAIRFIELD, Iowa, July 16, 2009– Managed futures continued their choppy performance in 2009, losing 0.87% in June according to the Barclay CTA Index compiled by BarclayHedge.

“The month began with a wave of optimism based on reported sightings of economic ‘green shoots’ in early June,” says Sol Waksman, founder and president of BarclayHedge.

“By month’s end however, investor doubts had resurfaced and the gains from rallies earlier in the month had turned to losses.”

The Diversified Traders Index fell 1.89% in June, Systemic Traders lost 1.15%, Discretionary Traders were down 1.15%, and Financial and Metals Traders lost 0.74%.

“Although month-end closing prices in many of the major futures markets weren’t much changed from May’s close, intra-month volatility created losses among both buyers and sellers,” says Waksman.

“The CRB commodity index lost just one percent in June, but to get there it ran up five percent early in the month only to drop six percent by the end.”

Only one of Barclay’s eight CTA indexes had a positive return in June. The Agricultural Traders Index rose 1.56%.

The Barclay Discretionary Traders Index has gained 3.19% in the first six months of 2009, and Agricultural Traders are up 2.64% year to date.

Through June, Systemic Traders have lost 3.23% and Diversified Traders are down 3.04% in 2009. The Barclay CTA Index has lost 0.80% after six months.

The Barclay BTOP50 Index, which monitors performance of the largest traders, fell 1.62% in June, and is down 3.83% year to date.

Click here to view 28 years of Barclay CTA Index data.

Sol Waksman is an experienced media source, providing perspectives on hedge fund and managed futures trends. For more commentary or background, call 641-472-3456 or email swaksman@barclayhedge.com.

BarclayHedge (formerly The Barclay Group) was founded in 1985 and actively tracks more than 6,000 hedge funds, funds of hedge funds, and managed futures programs. Barclay has created and regularly updates 18 proprietary hedge fund indexes and eight managed futures indexes.