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 posted its third consecutive positive month, gaining 0.34% in December to end the year on a strong note. Long term and short term managers once again experienced the strongest returns on the month, generating gains of 1.00% and 0.87%, respectively. Global macro managers struggled the most, losing -1.45% in December, while FX managers extended their yearly losses by an additional -1.24%. Continued strong trends in equities and currencies were the main drivers of December’s positive return. In an encouraging sign for managed futures, markets appeared to follow fundamentals more closely in December than in recent times. Equities ended a stellar year amid growing optimism for a global economic recovery and diminished fears that the Fed’s slowdown of asset purchases will have a negative effect on the stock market. The S&P closed the year up nearly 30% while the Nikkei appreciated by more than 56%. The much anticipated “taper” occurred as the central bank announced a $10 billion reduction in monthly asset purchases at their December policy meeting. As a result, bonds fell globally with the U.S. 10-Year Treasury yield reaching 3% for the first time since 2011. Hawkish comments by ECB council members drove the euro higher while the Japanese yen continued to weaken against the U.S. dollar. In commodities, gold fell another 4.1%, losing more than 28% of its value in 2013. Base metals generally rallied on expectations for increased global economic activity. The index closed the year nearly flat, losing -0.70%. FX strategies were the year’s worst performers while long-term strategies produced the year’s strongest gains.
Return Data: http://www.stoxx.com/download/historical_data/h_stxecmf.txt
Disclaimer: The index sponsor, STOXX Limited, Switzerland, does not promote any financial instruments which reference to the iSTOXX® Efficient Capital® Managed Futures 20 Index.