The iSTOXX® Efficient Capital® Managed Futures 20 Index, developed by STOXX Limited in collaboration with Efficient Capital® Management, a leading provider in the Managed Futures space, represents the performance of 20 of the largest Managed Futures Traders. Strict rules about minimum assets under management, existing track record and fee structure are applied to the initial universe of CTAs to ensure market representativeness. STOXX® independently constructs, calculates and publishes the index value on a daily basis, while Efficient Capital serves as a research partner.
The iSTOXX Efficient Capital Managed Futures 20 Index was down -1.78% in August. All four styles were negative on the month with FX programs struggling the most, generating a loss of -3.0%. Long term, global macro and short term managers posted losses of -2.3%, -1.1% and -0.8% respectively. Markets were initially driven by tapering concerns in the U.S. but focus quickly shifted to the escalating conflict in Syria over the latter portion of the month as fears of a potential US military action drove risk aversion. After posting new all-time highs early in the month, the S&P suffered sharp losses and posted its worst monthly return in over a year. Yields in the U.S. rose steadily with continued expectations that the FED would soon taper its monthly asset purchases. Divergence among central bank policies drove the U.S. dollar higher against most currencies, particularly against those of emerging markets. Commodity markets rallied throughout the month led by gains in soybeans and brent oil as dry weather in North America and increased geopolitical risk in the Middle East drove markets higher. Year-to-date, the index is down -2.88% with only 6 of the managers positive and all four styles in negative territory.
Return Data: http://www.stoxx.com/download/historical_data/h_stxecmf.txt
Disclaimer: The index sponsor, STOXX Limited, Switzerland, does not promote any financial instruments which reference to the iSTOXX® Efficient Capital® Managed Futures 20 Index.