Over correlation has plagued the Commodity Trading Adviser sector for the past 18 months. William Mitting asks if better times lie ahead.
2011 was the worst year on record for CTAs. According to the
BarclayHedge CTA Index, which tracks the reported returns of
over 600 CTAs, overall performance dropped to -3.83% in 2011,
the steepest, but only the fifth annual negative return, since
1980 when the index begins.
Diversified strategies were hit the worst reporting a 5.72%
fall compared to a positive return of 9.8% in 2010 and a
stellar 26.55% in 2008. "This has been the worst 18 months in
history for managed futures and this is down to the high
correlation across different markets," says Steve Michael,
principal at Stonehenge Asset Management.
"Futures are correlating to equities and all futures asset
classes are correlating to political events in Europe and the
US and the slowdown in Asia. Everything has been correlating to
unusually high levels."
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