Managed Futures Stumble In February

Mar 14 2007 | 11:10am ET

Most managed futures strategies lost ground in February, according to The Barclay Group. Overall, the Barclay CTA Index was down 0.77% for the month and up 0.19% just year-to-date.

“Volatility increased dramatically during the final days of February,” Sol Waksman, founder and president of Barclay, said. “As stock markets tumbled, investors sought safety and drove US interest rates lower.”

Barclay’s Financial and Metals Index was down 0.60% and currency traders lost 0.31%. “The sharp increase in the value of the Japanese yen at month-end hurt currency players who were long the ‘carry trade,’” said Waksman.

However, discretionary traders and agricultural traders performed well last month, rising 1.18%, and 0.97% respectively. Ag traders have gained 2.72% during the first two months of the year. Waksman attributed their gains to rallies in the soybean and live cattle futures markets.

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