Managed futures funds advance solidly in May despite uneasiness elsewhere

Managed futures funds ground out another solid batch of returns this month, yielding 0.81 per cent and making May the fourth period in a row of gains for the CTA industry. For the year-to-date interval, CTAs have earned their investors a return of 4.85 per cent according to the Barclay CTA Index, compiled by BarclayHedge, a division of Backstop Solutions.

“A triumvirate of rosy economic forecasts, pent up consumer demand and continuing production backlogs propelled many commodities’ prices well past their pre-pandemic thresholds to levels not seen in a decade,” says Ben Crawford, Head of Research at BarclayHedge. “With the exception of LNG, every category of energy and metal commodity fetched higher prices in May than in April.”

Yet elsewhere in the market the mood was less ebullient. “May brought deepening worries over the reappearance of core inflation and with it choppy trading sessions in the equity markets. Crypto markets added to the uneasiness with a painful selloff that erased more than USD1 trillion from its currencies’ market caps,” says Crawford.

Despite the mixed news in the broad markets, most CTA funds managed to find winning moves. Nearly all sectors tracked in the Barclay CTA Indices posted gains in May. The MPI Barclay Elite Systematic Traders Index led the way advancing 2.36 per cent, while the Diversified Traders Index was up 1.19 per cent and the Systematic Traders Index gained 0.90 per cent. Others in the black for the month included the Currency Traders Index (0.61 per cent) and the Discretionary Traders Index (.44 per cent).

Sectors losing ground for the month included the Cryptocurrency Traders Index, down -12.91 per cent, and the Agricultural Traders Index, off a modest -0.31 per cent.

Despite May’s losses, the Cryptocurrency Traders Index remained the year-to-date leader, up 94.89 per cent through May. Other notable year-to-date performers included the MPI Barclay Elite Systematic Traders Index, returning 8.58 per cent, the Diversified Traders Index, up 7.59 per cent, the Discretionary Traders Index, gaining 5.63 per cent, and the Systematic Traders Index, advancing 4.77 per cent.

The lone sector in the red for the year to date was the Currency Traders Index, off -0.33 per cent.

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs open for new investment, gained 2.15 per cent in May. So far in 2021 the BTOP50 has returned 7.30 per cent.