Managed futures traders lost 0.17 per cent in May according to the Barclay CTA Index compiled by BarclayHedge. The Index is up 1.83 per cent year to date.
“Global interest rates pushed higher and created losses for managers that were positioned for lower rates, particularly in the European and Japanese markets,” says a spokesman for BarclayHedge.
Four of Barclay’s eight CTA indices lost ground in May. The Diversified Traders Index was down 0.62 per cent, and Systematic Traders gave up 0.42 per cent.
“Most managers continued to profit from the strength of the US Dollar against the Yen, Euro, and Australian Dollar. But some managers, after a six week rally in the Brazilian Real, went long the Real versus the US Dollar just as it dropped more than five percent, taking their portfolios down with it.”
On the positive side, Agricultural Traders gained 0.81 per cent in May, Discretionary Traders and Financial/Metals Traders both added 0.20 per cent, and Currency Traders gained 0.15 per cent.
After five months, the Financial/Metals Traders Index is up 3.26 per cent, Currency Traders have gained 2.89 per cent, Systematic Traders are up 1.23 per cent, Diversified Traders have added 0.72 per cent, and Discretionary Traders are up 0.70 per cent.
The Barclay BTOP50 Index, which measures performance of the largest CTAs, lost 0.71 per cent in May. The BTOP50 is up 1.23 per cent through the end of May.
