Managed futures lost 1.81 per cent overall in June, according to the Barclay CTA Index compiled by BarclayHedge.

The index is up 0.03 per cent year to date.

“The month-end ECB agreement to make loans directly to eurozone banks drove prices in some of the major equity, currency, and commodity markets to their largest one-day moves of the year,” says Sol Waksman, founder and president of BarclayHedge.

On the negative side, Barclay Diversified Traders Index fell 2.89 per cent in June, systematic traders lost 2.51 per cent, and financial and metals traders were down 0.56 per cent.

“Momentum-based trend following traders typically take losses when markets reverse course sharply,” says Waksman.

On the positive side, agricultural traders gained 3.45 per cent in June, and discretionary traders were up 1.40 per cent.

“Drought fears in the US drove prices higher for agricultural commodities,” says Waksman.

After six months in 2012, the Barclay Agricultural Traders Index leads all managed futures strategies with a gain of 4.73 per cent. Currency traders are up 1.19 per cent year to date, and discretionary traders have gained 0.84 per cent.

The Diversified Traders Index is down 1.45 per cent after two quarters, financial and metals traders have lost 0.94 per cent, and systematic traders gave up 0.81 per cent.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, was down 1.50 per cent in June. The BTOP50 was up 0.09 per cent through June 2012.