Managed futures lost 1.31 per cent in May, according to the Barclay CTA Index compiled by BarclayHedge.
The index remains up 0.61 per cent year to date.
“May’s trend reversal in global interest rates coupled with a 12 per cent mid-month decline in the Nikkei fuelled losses for roughly two-thirds of the CTAs in the BarclayHedge database,” says Sol Waksman, founder and president of BarclayHedge.
Six of Barclay’s eight CTA indices had losses in May. The Diversified Traders Index was down 1.43 per cent, Systematic Traders lost 1.21 per cent, and Financial & Metal Traders gave up 1.02 per cent.
“A stronger USD and reduced demand from China weighed on commodity prices and drove the DJ UBS Commodity Index down 2.2 per cent in May,” says Waksman.
Only two Barclay CTA indices had gains in May. The Currency Traders Index was up 0.60 per cent and Agricultural Traders added 0.06 per cent for the month.
“As the USD strengthened against commodity-based and emerging markets currencies, currency traders were provided with ample profit opportunities,” says Waksman.
The Barclay BTOP50 Index, which measures performance of the largest CTAs, lost 1.37 per cent in May.