Managed futures lost 0.77 per cent in May, according to the Barclay CTA Index compiled by BarclayHedge.

“The slowing of growth in China, fears of a double-dip recession in the US, and a European liquidity crisis precipitated a sharp decline in global equity prices,” says Sol Waksman, founder and president of BarclayHedge.

Three of Barclay’s six managed futures sectors had losses in May, while the other three sectors made gains. The Barclay Diversified Traders Index was down 1.31 per cent, systematic traders lost 0.67 per cent, and discretionary traders slid 0.57 per cent.

“The Reuters-CRB Commodity Index fell by more than eight percent during May as deflationary concerns drove prices of economically sensitive commodities lower,” says Waksman.

On the positive side, the Barclay Currency Traders Index gained 0.79 per cent in May, financial and metals traders were up 0.70 per cent, and agricultural traders gained 0.67 per cent.

“As investor enthusiasm for risk receded, the ensuing ‘flight to quality’ drove up prices for US Treasuries, precious metals, and the US Dollar,” says Waksman.

The largest managed futures funds fell the furthest in May, losing 2.37 per cent as measured by the Barclay BTOP50 Index.