The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.24 per cent loss in May. Year to date, the Index is down 1.76 per cent.
“Large system traders were the hardest hit by trend reversals in fixed income, energy, sugar and cocoa prices,” says Sol Waksman (pictured), founder and president of BarclayHedge.
The new MPI Barclay Elite Systematic Traders Index (MBEST) lost 1.85 per cent in May, Diversified Traders were down 0.64 per cent, Financials and Metals Traders lost 0.44 per cent, and Systematic Traders gave up 0.44 per cent.
“The larger funds are not as nimble and can impact prices more than their smaller brethren when market positions need to be reversed,” says Waksman.
On the positive side, Currency Traders gained 0.88 per cent in May, and Discretionary Traders inched up 0.04 per cent.
“The EUR has been weakening for the past two months, giving momentum traders plenty of time to establish their positions,” says Waksman.
At the end of the five months, MPI Barclay Elite Systematic Traders are down 5.84 per cent, Diversified Traders have lost 2.52 per cent, the Systematic Traders Index is down 2.42 per cent, and Financials/Metals Traders have lost 2.17 per cent.
The Discretionary Traders Index has gained 3.02 per cent in 2018, Currency Traders are up 2.36 per cent, and Agricultural Traders have added 1.85 per cent.
The BTOP50 Index, which is composed of the largest CTAs open to new investment, lost 1.99 per cent in May, and is currently down 4.58 per cent for the year.
The Cryptocurrency Traders Index, created by BarclayHedge, dropped 20.26 per cent in May. This is the fourth loss in its first five months of trading. This volatile index is currently down 35.51 per cent for the year.
