Managed futures were unable to maintain momentum in May as the battering equity markets and oil prices took from trade wars and tariffs contributed to CTA funds dropping 0.19 per cent, according to the Barclay CTA Index compiled by BarclayHedge, a division of Backstop Solutions.
For the year-to-date, CTA funds remained in positive territory through the end of May, up 2.27 per cent.
Gainers and losers were evenly split in May among the eight CTA sectors tracked in the Barclay CTA indices, though all remained in the black for the year.
“While rallies in energy and equity markets propelled managed futures’ performance in recent months, those markets were rocked in May by trend reversals attributed to tariffs and trade wars,” says Sol Waksman, president of BarclayHedge. “However, the ongoing rally in fixed income instruments accelerated and provided profitable opportunities to mitigate losses in other market sectors.”
The Cryptocurrency Traders Index set the pace for gainers in May with a 35.18 per cent return for the month. The Agricultural Traders Index was a distant second with a 1.28 per cent monthly return.
“Bitcoin staged a significant rally in May, while total market capitalisation for other major cryptocurrencies was also on the rise,” added Waksman. “In the agricultural markets, fear of an escalating US-China trade war reducing demand and driving crop prices down were offset by concerns that wet weather in the corn belt during peak planting season would result in lower yields and higher crop prices. It was an opportunity for traders who could read the tea leaves correctly.”
Among CTA sectors posting losses in May were the MPI Barclay Elite Systematic Traders Index, down 2.60 per cent, the Barclay BTOP50 Index lost 1.67 per cent, the Systematic Traders Index, down 0.76 per cent, and the Diversified Traders Index which dropped 0.66 per cent in May.
The Cryptocurrency Traders Index continued to set the year-to-date pace as well, posting a 58.35 per cent return through the end of May. The BTOP50 Index was up 3.16 per cent for the year, the MPI Barclay Elite Systematic Traders Index gained 2.91 per cent, while the Systematic Traders Index finished May with a 1.77 per cent year-to-date return and the Diversified Traders Index rose 1.79 per cent for the year.
