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CTAs Down in May, Despite Currency Gains
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.24% loss in May, although currency traders gained 0.88% last month. Year-to-date, the Barclay CTA Index is down 1.76%. “Large systematic traders were the hardest hit by trend reversals in fixed income, energy, sugar and cocoa prices,” says Sol Waksman, founder and president of BarclayHedge. The new MPI Barclay Elite Systematic Traders Index (MBEST) lost 1.85% in May, diversified traders were down 0.64%, financials and metals traders lost 0.44%, and systematic traders gave up 0.44%.

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