Managed futures traders lost 0.98 per cent in June, according to the Barclay CTA Index compiled by BarclayHedge. This was the largest monthly decline so far this year as the Index is down 1.65 per cent through the first two quarters of 2017.
The BTOP50 Index, which tracks the 50 largest investable CTAs, also fell, registering a loss of 2.60 per cent in June, and is down 4.77 per cent for the year as well.
“The first half of 2017 has been difficult for the CTA industry,” says Sol Waksman (pictured), founder and president of BarclayHedge. “The combination of low volatility and sharp trend reversals has helped to suppress returns for managed futures.”
Three of the six fund sub-indices measured by BarclayHedge also recorded declines in June. Financials/Metals led the way with a 1.63 per cent fall, followed by declines of 1.48 per cent for Systematic and 1.43 per cent for Diversified traders. Agricultural and Discretionary posted gains of 1.09 per cent and 0.45 per cent respectively in June, while Currencies edged up a modest 0.03 per cent.
Year to date, Agricultural is the best performing sector with a gain of 1.76 per cent, while Diversified lags all other sectors with a 3.90 per cent decline. Results are mixed for the four remaining indices, with Financial/Metals up 0.44 per cent, Currencies up 0.38 per cent, Discretionary down 0.13 per cent, and Systematic down 2.46 per cent.
“Financial/Metals had been the best performing sector through May, but a combination of choppy markets for precious metals and some surprises in fixed income wiped out a good part of those gains in June,” says Waksman. “Agricultural, on the other hand, has shown steady but unspectacular gains and now stands as the best performing Index for the year.”
