Barclay CTA Index down 0.22 per cent in June
Rebounding equity and energy markets caught some in the managed futures industry on the wrong foot in June, leading the CTA industry to a 0.22 per cent monthly loss, according to the Barclay CTA Index, compiled by BarclayHedge.
Year-to-date CTAs were up 1.04 per cent through the end of June.
“As economies reopened from COVID-19 shutdowns, equity markets continued to recover while energy prices bounced back,” says Sol Waksman, president of BarclayHedge. “That environment challenged some longer-term trend followers who weren’t able to move as quickly as market conditions changed.”
CTA sectors were evenly split between gainers and losers in June. Among those on the plus side of the ledger were the Agricultural Traders Index, up 1.64 per cent, the Discretionary Traders Index, gaining 0.73 per cent, the Currency Traders Index, posting a 0.43 per cent return, and the Financial & Metals Traders Index, up 0.10 per cent.
Sectors in the red for June were led by the Cryptocurrency Traders Index, down 3.14 per cent. Others losing ground in June were the MPI Barclay Elite Systematic Traders Index, off 1.26 per cent, the Diversified Traders Index, down 0.77 per cent, and the Systematic Traders Index, losing 0.53 per cent.
The MPI Barclay Elite Systematic Traders Index remained in the red year-to-date as June ended, off 5.46 per cent.
Leading year-to-date gainers included the Cryptocurrency Traders Index, up 20.13 per cent, the Agricultural Traders Index, gaining 6.85 per cent, the Currency Traders Index, returning 5.30 per cent on the year, and the Discretionary Traders Index, posting a 2.54 per cent gain.
The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment, was down 0.55 per cent in June. For the year-to-date the BTOP 50 was down 2.87 per cent.