Key Takeaways
- • The Lipper Managed Futures/CTAs index returned 1.02 per cent in July 2010, according to the latest Lipper TASS report.
- • Year-to-date performance for the index stood at minus 2.94 per cent, with the 12-month rolling return at minus 1.94 per cent.
- • Discretionary managers gained on long equity and commodity exposures, while systematic traders finished negative as market trends reversed.
- • Long-term trend followers were caught long US dollars, gold and silver and did not participate in the broader commodity rally.
- • Managers with more than USD45m in assets posted an average monthly return of minus 1.21 per cent, 103 basis points below the strategy average.
Summary
Managed futures managers posted mixed performance in July 2010, according to the latest report from Lipper TASS, as reported by Hedgeweek. The Lipper Managed Futures/CTAs index registered a positive return of 1.02 per cent for the month. Despite the July gain, the index's year-to-date performance was minus 2.94 per cent and its 12-month rolling return was minus 1.94 per cent.
The report indicates divergent results by trading style. Discretionary managers benefited from gains in long equity positions and commodity trading exposures, as bond yields edged downwards. Systematic traders, by contrast, ended the month in negative territory as market trends reversed while riskier assets rallied.
Long-term trend followers generally finished July with negative returns. According to the report, these managers were positioned long US dollars, gold and silver and did not benefit from the rally in the remaining commodities.
Size also appeared to affect results. Managers with assets in excess of USD45m returned an average monthly performance of minus 1.21 per cent, which was 103 basis points below the average reading for the strategy.
The report indicates divergent results by trading style. Discretionary managers benefited from gains in long equity positions and commodity trading exposures, as bond yields edged downwards. Systematic traders, by contrast, ended the month in negative territory as market trends reversed while riskier assets rallied.
Long-term trend followers generally finished July with negative returns. According to the report, these managers were positioned long US dollars, gold and silver and did not benefit from the rally in the remaining commodities.
Size also appeared to affect results. Managers with assets in excess of USD45m returned an average monthly performance of minus 1.21 per cent, which was 103 basis points below the average reading for the strategy.
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