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 -2.01% in January. Long term and global macro managers had a difficult month, losing -4.36% and -1.26%, respectively. FX managers gained 2.18% after a stretch of negative months while short term managers continued their recent good performance ending the month up 1.43%. The year began with sharp reversals in some of the most established trends, particularly in equities, precious metals and FX. Global equities declined significantly due to poor economic data out of China and concerns about emerging economies. This sharp reversal was responsible for most of the losses experienced by long term managers. Short term managers found greater opportunity as the VIX jumped by 34% in January. Despite the U.S. Federal Reserve’s additional $10 billion reduction in monthly asset purchases ($20 billion in total), fixed income markets rallied and yields fell as investors sought the relative safety of bonds. The Fed’s withdrawal of quantitative easing led to a sharp sell-off in risky assets, particularly in emerging markets where years of ultra-loose monetary policy had produced significant inflows. After falling by more than 17% in 2013 and declining in 10 out of the previous 12 months, the yen rallied by more than 3% in January as assets flooded back into the traditional funding currency. Again, these trend reversals proved to be difficult for long term managers but provided opportunity for FX specialist managers. Precious metals were another challenging sector as gold rallied by more than 3.5%, a sharp reversal from the decline that saw prices fall by nearly 10% during the 4th quarter of 2013. In energy markets, natural gas rallied by nearly 17% due to the continued cold snap that has gripped much of North America. The iSTOXX® Efficient Capital® Managed Futures 20 Index was reconstituted for 2014. At present, weights among long term, short term, FX and global macro managers are 55%, 24%, 9% and 12%, respectively.
Return Data: http://www.stoxx.com/download/historical_data/h_stxecmf.txt
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STOXX Limited, its owners, data sources, business partners and agents (the “STOXX Parties”) have no relationship to the Efficient Capital Management, LLC, other than the licensing of the iSTOXX® Efficient Capital® Managed Futures 20 Index and the related trademarks for use in connection with the iSTOXX® Efficient Capital® Managed Futures 20 Index.
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PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
PROSPECTIVE INVESTORS ARE CAUTIONED THAT THE PERFORMANCE SHOWN IS NOT INDICATIVE OF AND HAS NO BEARING ON ANY TRADING RESULTS WHICH MAY BE ATTAINED IN THE FUTURE, SINCE PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THERE CAN BE NO ASSURANCE THAT AN ACCOUNT OR FUND WILL EARN ANY PROFITS AT ALL OR WILL BE ABLE TO AVOID INCURRING SUBSTANTIAL LOSSES.