.jpg)
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 -0.43% in September. Global macro managers represented the only positive strategy on the month generating profits of 0.94%. Long term, FX and short term styles posted losses of -0.70%, -0.60% and -0.58%, respectively. Geopolitical tensions eased in September as military action in Syria seemed to have been averted. As that conflict subsided, attention shifted to Bernanke who surprised the markets by announcing that the Fed’s tapering is further out than expected. Following the announcement, investors focused on the political gridlock in Washington surrounding the potential for a partial government shutdown and the coming debt ceiling debate. Global equities extended their recent rally with strong gains coming out of Japan, and to a lesser extent, from Europe and the U.S. This strong uptrend has been one of the very few good opportunities for most managed futures strategies. In sharp contrast to recent months, bond markets rallied as U.S. Treasury yields fell during much of the month. The reversal was particularly difficult for trend following managers which had generally built into short bond exposures during the previous several months. The U.S. dollar lost ground against other major currencies as the dollar index fell more than -2% on the month. Commodities also posed challenges as reversals in energy and metals proved difficult for directional strategies. Year-to-date, the index is down -3.3% with 6 of the managers positive and all four strategies in negative territory.
Return Data: http://www.stoxx.com/download/historical_data/h_stxecmf.txt
