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BarclayHedge: CTAs Off In May As Tariffs, Oil Price Declines Hit Strategy

Managed futures were unable to maintain momentum in May as the battering equity markets and oil prices took from trade wars and tariffs contributed to CTA funds dropping 0.19%, according to the Barclay CTA Index compiled by BarclayHedge, a division of Backstop Solutions. For the year-to-date, CTA funds remained in positive territory through the end of May, up 2.27%.

Gainers and losers were evenly split in May among the eight CTA sectors tracked in the Barclay CTA indices, though all remained in the black for the year.

“While rallies in energy and equity markets propelled managed futures’ performance in recent months, those markets were rocked in May by trend reversals attributed to tariffs and trade wars,” said Sol Waksman, president of BarclayHedge. “However, the ongoing rally in fixed income instruments accelerated and provided profitable opportunities to mitigate losses in other market sectors.”

The Cryptocurrency Traders Index set the pace for gainers in May with a 35.18% return for the month. The Agricultural Traders Index was a distant second with a 1.28% monthly return.

“Bitcoin staged a significant rally in May, while total market capitalization for other major cryptocurrencies was also on the rise,” added Waksman. “In the agricultural markets, fear of an escalating U.S.-China trade war reducing demand and driving crop prices down were offset by concerns that wet weather in the corn belt during peak planting season would result in lower yields and higher crop prices. It was an opportunity for traders who could read the tea leaves correctly.”

Among CTA sectors posting losses in May were the MPI Barclay Elite Systematic Traders Index, down 2.60%, the Barclay BTOP50 Index lost 1.67%, the Systematic Traders Index, down 0.76%, and the Diversified Traders Index which dropped 0.66% in May.

The Cryptocurrency Traders Index continued to set the year-to-date pace as well, posting a 58.35% return through the end of May. The BTOP50 Index was up 3.16% for the year, the MPI Barclay Elite Systematic Traders Index gained 2.91%, while the Systematic Traders Index finished May with a 1.77% year-to-date return and the Diversified Traders Index rose 1.79% for the year.