Managed futures lost 2.06% in May according to the Barclay CTA Index compiled by BarclayHedge. Year-to-date, the Barclay CTA Index is up 0.19%.
“An increase in margin requirements aimed at curbing speculation in silver futures was the first of several shoes to drop in May,” says Sol Waksman, founder and president of BarclayHedge. “The debt crisis in Greece, tightening in China, and fears of a slowing US recovery were all cited as factors for the price reversals in commodities, currencies, and stock indices during the month.”
Seven of Barclay’s eight CTA indices lost ground in May. The Barclay Diversified Traders Index dropped 3.38%, Systematic Traders lost 2.93 %, Financial & Metals Traders were down 0.93%, and Currency Traders lost 0.88%.
“Diversified Traders tend to rely on portfolio diversification to mitigate certain risk factors, but were hit particularly hard when many of their trend following positions ended the month in the loss column," says Waksman.
The Barclay BTOP50 Index, which measures performance of the largest CTAs, lost 2.50% in May.
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