Barclay CTA Index gains 2.64% in May

Date: Thursday, June 21, 2012
Author: Wendy Chothia, HedgeWeek

Managed futures gained 2.64% in May according to the Barclay CTA Index compiled by BarclayHedge. The Index is up 1.92% year-to-date.

“The risk-off trade which started to gain momentum in April moved into high gear in May, allowing CTAs that were properly positioned to have a profitable month,” says Sol Waksman (pictured), founder and president of BarclayHedge. “Signs of slowing in the US and China, coupled with fears of financial contagion in Europe, drove prices for equities and commodities sharply lower while the US dollar and bond prices in ‘safe’ countries rallied strongly.”

Six of Barclay’s eight CTA indices had gains in May. The Diversified Traders Index and the Systematic Traders Index both jumped 3.47%, Financial & Metals Traders were up 2.26%, and Currency Traders added 1.57%.

“The profitable trends in May were set in motion in April, giving diversified and systematic traders ample opportunity to get on board,” says Waksman. “The Barclay Diversified Traders Index and Systemic Traders Index both recorded respectable gains in May, and now have a small positive return year-to-date.”

On the losing side, the Agricultural Traders Index was down 2.03%, and Discretionary Traders gave up 0.79% in May.

“When markets become over-extended, discretionary traders oftentimes lose out, whereas these conditions present a more profitable scenario for systematic traders,” says Waksman.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, gained 1.84% in May. The BTOP50 is now up 1.13% for the year.