The performance of the SocGen Managed futures index
fell short this month relative to major asset classes except for the long bond.
Its year to date performance is now below all of the major asset classes. While
many traditional long-only traders were able to take advantage of the risk-on
environment, managed futures was not able to exploit opportunities surrounding the
Fed announcement.
There has been more convergence of performance
across major asset classes, but managed futures managers have generally not
been able to find new opportunities after the strong first quarter
trading.
On a monthly basis, the managed futures index has been unable to string
together long periods of successful performance. Market moving events have come
quickly only to vanish in more market noise or reverse as new information entered
the market.
In September, some loses were associated with the reversal around the
Fed mid-September FOMC meeting announcements. The positive month for major
asset classes does not reveal the intra-month moves that may have hurt active
long/short managers. Although there is still another of quarter trading, managed
futures have not seen the same strong monthly moves found in major asset
classes. This should not be surprising given the diversification of most active
managers, but managed futures traders seem as though they have not be able to
concentrate bets to exploit the opportunities that have appeared in markets.
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