Managed futures gained 5.83 percent in 2006, according to estimates by the Barclay BTOP50 Index. The Barclay BTOP50 Index, which monitors performance of the largest CTAs, gained 5.83 percent in 2006, and has a compound annual return of 7.50 percent over the past five years. The more broadly-based Barclay CTA Index gained 3.66 percent in 2006, and has averaged a 5.87 percent return over the past five years.
Five of Barclay’s six CTA sector indexes had positive returns in 2006. The Discretionary Traders Index gained 8.17 percent, Diversified Traders Index was up 5.72 percent, Agricultural Traders rose 4.44 percent, Systemic Traders gained 2.31 percent, while the Financial and Metals Index rose 1.62 percent.
Only the Currency Traders Index was down for the year, sliding 0.26 percent.
“Even though the BTOP50 was up 2.24 percent in the first quarter, it gave nearly all of that back by the end of September,” says Sol Waksman, the founder and president of The Barclay Group. “Most profits came in the last three months of 2006, fueled by sustained declines in energy, precious metals, and U.S. bond prices.”