CTAs up 0.44 per cent in May

As financial markets continued their recovery and economies began to reopen from Covid-19 pandemic shutdowns, managed futures were able to capture a small profit in May, gaining 0.04 per cent according to the Barclay CTA Index, compiled by BarclayHedge, a division of Backstop Solutions. 

Year-to-date CTAs gained 1.44 per cent through the end of May.

“Despite the coronavirus crisis and its economic impact, equity markets were buoyed by government stimulus efforts and the early stages of businesses resuming operations,” says Sol Waksman, president of BarclayHedge.

Most Barclay CTA Index sectors were in positive territory in May, led by the Cryptocurrency Traders Index which gained 3.70 per cent. The Agricultural Traders Index was up 1.56 per cent, the Discretionary Traders Index posted a 0.87 per cent return, the Financial & Metals Traders Index gained 0.22 per cent and the Currency Traders Index rose 0.17 per cent.

“Many trend traders with longer time frames were caught out by the sharp rallies in equity and energy markets resulting in losses for funds in the Systematic and the Diversified sectors,” Waksman says.

Sectors losing ground in May included the MPI Barclay Elite Systematic Traders Index, down 0.63 per cent, the Diversified Traders Index, off 0.31 per cent, and the Systematic Traders Index, losing 0.25 per cent.
The MPI Barclay Elite Systematic Traders Index was the lone sector in the red year-to-date through May, losing 4.28 per cent.

Among the leading gainers on the year-to-date were the Cryptocurrency Traders Index, up 24.53 per cent, the Currency Traders Index, gaining 5.33 per cent, the Agricultural Traders Index, returning 5.24 per cent, and the Systematic Traders Index, up 2.63 per cent.

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment, was down 0.34 per cent in May. For the year-to-date the BTOP50 lost 2.20 per cent.