Barclay CTA Index Falls 1.34% in August;Largest Traders Drop 2.99%

Fairfield, Iowa - 20 September 2007

Managed futures lost 1.34% in August, according to flash estimates from the Barclay CTA Index.

“Nearly 60% of CTAs reporting to Barclay lost money in August,” says Sol Waksman, founder and president of The Barclay Group.

“Many traders were caught off guard by a mid-month trend reversal in the energy, currency, precious metals and equity markets."

Five of Barclay’s eight CTA indexes fell in August. The Agricultural Traders Index dropped 2.94%, Diversified Traders declined 2.32%, and Systematic Traders lost 1.72%.

“U.S. bond prices rallied as many traders correctly anticipated that the Fed would lower interest rates to avoid a potential recession,” says Waksman.

The Barclay BTOP50 Index fell 2.99% in August, the second consecutive month that the largest CTAs lost more than smaller managed futures advisors. The BTOP50 is up just 0.16% for the year, slightly better than the Barclay CTA Index, which shows a 0.12% YTD loss.

“CTAs trading the largest accounts require a lot of liquidity, and they find it primarily in the financial and energy markets rather than the commodity sectors,” says Waksman.

“Unfortunately for the biggest traders, energy and financials suffered losses in August, saddling the big CTAs with lower returns than the managed futures universe as a whole.”

The Agricultural Traders Index is now down 3.20% for the year. Barclay’s six other indexes remain in positive territory through August 2007.

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