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%.
“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.
Alongside currency traders, discretionary traders also posted marginally positive results in May, ending the month up 0.04%.
“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, MBEST is down 5.84%, diversified traders have lost 2.52%, the Systematic Traders Index is down 2.42%, and financials/metals traders have lost 2.17%.
By contrast, the Discretionary Traders Index gained 3.02% in 2018, currency traders are up 2.36%, and agricultural traders have added 1.85%.
The BTOP50 Index, which is composed of the largest CTAs open to new investment, lost 1.99% in May, and is currently down 4.58% for the year.
The Cryptocurrency Traders Index, created by BarclayHedge, dropped 20.26% in May. This is the fourth loss in its first five months of trading. This volatile index is currently down 35.51% for the year.