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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 gained 0.94% in October ending a five-month losing streak. Long term managers posted the strongest returns, generating profits of 2.13% on the month. Global macro and short term styles contributed positively by posting gains of 0.55% and 0.12%, respectively. FX managers, on the other hand, continued to struggle losing -0.94%. Concerns surrounding a potential taper of the U.S. Federal Reserve’s monthly $85 billion bond-buying program quickly faded in October as attention shifted to the partial government shutdown and the debt ceiling showdown in Washington. The deal that was reached on October 17th, albeit short term, provided the markets with some measure of relief over the potential of a U.S. government default. U.S. equities rallied to fresh all-time highs in the weeks following the deal in Washington. European equities followed suit, while Asian markets were mixed. Long term managers took advantage of the rally and generated strong gains. Early in the month, bond markets extended the recent uptrend resulting from the Fed’s decision to delay tapering. Expectations that the ECB will remain accommodative in the near term continued to fuel the rally throughout the month. Currency markets were characterized by reversals and range-bound trading. The euro fell sharply on the final trading day of the month, suffering its biggest one-day drop in over six months as a surprising slowdown in inflation increased speculation that the ECB would be forced to provide additional liquidity. Moves in the commodity markets were mixed and generally based on fundamental supply/demand factors. Year-to-date, the index is down -3.4% with only 7 profitable managers and all strategies, except for global macro, in negative territory.
Return Data: http://www.stoxx.com/download/historical_data/h_stxecmf.txt
