Managed Futures Bounce Back In September

Oct 19 2007 | 11:19am ET

What a difference a month makes: August heat gave way to a cooler September breeze as managed futures gained 3.76% last month, according to flash estimates from the Barclay CTA Index. The Index dropped 1.63% in August.

All eight of Barclay’s CTA indices were profitable in September. Diversified traders jumped 5.24%, systematic traders gained 4.14%, and the financial and metal traders index was up 2.31%. Seven of the eight of Barclay managed futures indices show modest gains for the year. The only exception is the agricultural traders index, which is down 2.26% for the first nine months of 2007.

“The Federal Reserve took aggressive action at its September meeting and cut the U.S. federal funds rate by 0.50% rather than 0.25% as was expected,” said Sol Waksman, founder and president of The Barclay Group. “The larger than expected rate reduction fuelled inflation fears and increased downward pressure on the U.S. dollar.  Commodity prices, including the energy complex and metals, rallied as the dollar sunk to new lows against the euro.”

The Barclay BTOP50 Index, which monitors the performance of the largest traders, gained 2.66% last month. Several big-name futures shops outpaced the index bringing their year-to-date losses to near-manageable levels or, in some cases, reversing into profitability.

U.K.-based Mulvaney Capital Management’s $91 million Global Markets Fund returned 3.92% last month bringing down its year-to-date losses to 31.84%. The fund took profits from its long currency positions against the U.S. dollar, specifically “the Canadian dollar appreciating against a backdrop of rising oil and metals prices, according to the firm.

Fellow countryman and CTA Quality Capital Management’s $360 million flagship Global Diversified Program returned 20.56% last month bringing its year-to-date returns to 5.01%. The program’s heady performance “came from strong moves in the energy markets, grains, metals and currencies,” according to CEO Aref Karim.

“We had been long the commodities and short the dollar. The continuing weakness in the U.S. currency and strong demand for commodities caused some markets to make new highs. Particularly noteworthy was gold making 25-year highs and crude oil advancing to new levels,” he said.

On the home front, Stuart, Fla.-based Dunn Capital Management’s main system, World Monetary and Agriculture, was up 16.36% for the month and down 9.01% YTD. Agricultural trades, specifically wheat contracts, contributed to the bulk of WMA’s gains, according to the firm.

Fellow Floridian and competitor John W. Henry & Co. made gains in nine out of the firm’s 10 programs, specifically the JWH Global Analytics program, which was up 15.28% last month bringing its YTD returns to near-positive territory at negative 0.41%.

“JWH’s programs gained as their systematic trend-following approach capitalized on the dollar’s plunge and also benfitted from the enhanced appeal of energies, grains and precious metals, which drove commodities to their biggest monthly gains in 32 years,” penned Kenneth Webster, president, in his latest investor letter.


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Chicago-based independent futures brokerage and clearing firm R.J. O’Brien & Associates (RJO) has hired industry veteran Daniel Staniford as Executive Director, responsible for the firm’s institutional business development in New York and London.

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