It’s still too early to tell what kind of year 2012 will be for the managed futures industry, but the odds are it will be better than last year.
The Barclay CTA Index, which reflects the performance of more than 550 managed futures programs tracked by BarclayHedge.com, gained 0.05 percent in January, with much larger (but still incomplete) gains being reported for February. Although it was a small victory for the benchmark index, the positive returns were nonetheless a hopeful sign for investors and money managers looking to bounce back from a dismal 2011.
The index fell 3 percent last year— only its second down year of the past decade and fifth in the 32 years since 1980 — as uncertainty in the global economy and volatile market conditions took its toll on managed futures programs. The index has a compound annual rate of return of 11.13 percent since inception.
Although the index closed 2011 with marginal positive returns in November and December, it wasn’t enough to salvage Q4 or the year overall. October’s 1.5-percent loss torpedoed the industry’s rebound from large back-to-back losses in May and June (-2 percent and -1.3 percent, respectively) and virtually guaranteed a negative annual return — even though there were more winning months than losing months in 2011 (Figure 1). Unfortunately, the average winning month was 0.71 percent vs. an average losing month of -1.24 percent.