Efficient Capital June Market Analysis

iSTOXX® Efficient Capital® Managed Futures 20 Index

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.
June was a negative month for the iSTOXX Efficient Capital Managed Futures 20 Index as 15 of the 20 constituent managers produced trading losses. Trend following programs struggled the most, generating an estimated -2.8% loss. Short term, FX and global macro managers also posted losses of approximately -1.5%, -1.0% and -0.4% respectively.  Once again, the index’s equal volatility adjusted weighting methodology added value in June. Financial markets were characterized by volatility and trend reversals as investors reacted to the FOMC signaling a quicker than previously anticipated end to their asset purchasing program. Equity markets had a difficult start but recovered most of their losses to close June slightly lower. Although bond markets continued to decline, the overall impact was greatly reduced as index managers decreased exposure to the fixed income sector. Currency markets also experienced sharp reversals as the US Dollar Index initially weakened significantly but subsequently recovered to end the month nearly unchanged. Commodity markets were led by activity in metals as gold closed its toughest quarter in recent history. Sharp drops in both precious and base metals prices provided trading opportunity across the different styles as profits in metals partially offset losses in other sectors.

DISCLOSURE: These are the opinions of the author and may not have considered all risk factors. Nothing on this web site should be construed as an individual recommendation, talk to your independent advisor. The author and Opalesque may have relationships with those people they cover in the publication. Mr. Melin provides a full disclosure of his business relationships to regulators and certain eligible participants who engage him in consulting projects. Managed futures investing involves risk and there are no guarantees of safety or future performance being implied. Managed futures can be a risky investment. This web site and its content is subject to the terms of the web site. Risk Disclosure and terms of web site are available here: Performance information received on this site is provided by third parties and deemed reliable but there is no guarantee relative to same. Performance reporting sources and quality assurance techniques may include, but are not limited to: disclosure document, CTA self reporting, brokerage firm reporting, consultant reporting, spot checking other reporting databases; nonetheless no guarantee of accuracy or implication performance verification or auditing is being made by the publishers. The CTA Database is a project separately managed from

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