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The iSTOXX® Efficient Capital® Managed Futures 20 Index, developed in collaboration with Efficient Capital® Management, a leading investor in the Managed Futures space, represents the 20 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 0.69% in July. FX programs struggled, generating a loss of 3.03%. Long-term and short-term strategies also found a lack of opportunity, losing 0.58% and 0.19%, respectively. Global macro managers provided partially-offsetting gains of 0.20%. Shifting speculations among investors around the timing of the FED’s tapering of monthly asset purchases generated most of the market moves in July. Equity markets had a strong month as the S&P hit new highs supported by strong economic data and expectations of low rates for the foreseeable future. Bond markets started the month weak but recovered strongly after FOMC minutes cast some doubt on future policy steps. Currencies, the worst performing sector on the month, were characterized by intra-month volatility and strong fluctuations among the G10 pairs. Commodity markets were mixed as metals and energies rallied while agricultural markets sold off. Gold gained over 7% after a record negative quarter, crude oil surged over 9% on supply pressures and corn set recent lows, driven by favorable weather during the heart of the growing season. Year-to-date, the index is down 1.12% with roughly half of the managers positive and all four styles slightly negative.
The index sponsor, STOXX Limited, Switzerland, does not promote any financial instruments which reference to the iSTOXX® Efficient Capital® Managed Futures 20 Index.
Return Data: http://www.stoxx.com/download/historical_data/h_stxecmf.txt
