Hedge Funds Up in May, CTAs Flat

Hedge funds enjoyed a reasonable May according to the Barclay Hedge Fund Index, which rose 2.74%, the index remains in negative territory for the year, however, at -4.67%

All 30 sub-indices were up for the month, led by the Emerging Markets Global Fixed Income Index at +6.03%, however year-to-date only six are positive – unsurprisingly the Volatility Trading Index leads the way at +10.07% after posting a gain of 1.19% in May. Of the other five, the Global Macro and Healthcare and Biotechnology indices moved into the plus side of the ledger for the first time since the pandemic hit markets, the former returning 1.48% to stand +0.73% for the year.

Worst performer year-to-date remains the Emerging Markets Latin America Index, which, despite a 5.11% return in May, is still down 10.52% for the year.

The Barclay CTA Index, meanwhile, just failed to break even for the month, ending -0.01% for a +1.39% year-to-date performance. The Cryptocurrency Traders Index continues to lead the way amongst the eight sub-indices, with a 2.93% return for May, meaning a 23.6% return year-to-date. Currency traders were down 0.04%, but remain +5.11% on the year, the index has slipped into third best performer on the ladder after Agricultural traders overtook it with a 1.69% return for 5.38% on the year.

The MPI Barclay Elite Systematic Traders Index, which captures the return of the largest 20 systematic traders, continues to struggle, turning in the worst performance for the month at -0.63% and a year-to-date loss of 4.28%.

It is a similar picture for the BTOP50 Index, which captures the largest investable trading programmes, this fell 0.06% to be -2.35% year-to-date.

Colin Lambert

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