Managed futures traders lost -0.98% in June, according to the Barclay CTA Index compiled by BarclayHedge.
This was the largest monthly decline so far this year as the index is down -1.65% through the first two quarters of 2017.
The BTOP50 Index, which tracks the 50 largest investable CTAs, also fell, registering a loss of -2.60% in June, and is down -4.77% for the year as well.
“The first half of 2017 has been difficult for the CTA industry,” says Sol Waksman, founder and president of BarclayHedge. “The combination of low volatility and sharp trend reversals has helped to suppress returns for managed futures.”