Bad month for managers

BarclayHedge released its May flash report of commodity trading advisor (CTA) performance this week, which indicated May was a rough month for managers. The report includes managed futures trading programs managing at least $50 million. It was no surprise that May was a tough month for traders as the sharp reversal in the U.S. dollar led many commodity markets to change course abruptly.

The preliminary report showed the Barclay CTA Index down 1.79% and the Barclay BTOP 50 Index down 2.49%.

While many folks like to talk about bubbles and speculators, the culprit for the poor performance appears to be the large reversal in commodities that started at the beginning of May in response to an upward correction in the U.S. dollar.

Another interesting element in the report is that year-to-date the Barclay CTA Index is up 0.53% while the Barclay BTOP 50 Index—which includes managers with the most assets under management — was down 2.34%. This indicates a difficult trading environment for managers with a greater allocation to the most liquid sectors: financial and energies. Our slide show illustrates the key reversals in commodity markets as well as the choppy market conditions in some of the larger sectors.

While each market has its own fundamentals, it is hard to ignore the impact of the dollar, which has recently reversed again and is approaching its May 4 low. CTAs wouldn't mind if the dollar decided on a direction.

About the Author
Daniel P. Collins

Editor-in-Chief of Futures Magazine, Daniel Collins is a 25-year veteran of the futures industry having worked on the trading floors of both the Chicago Board of Trade and Chicago Mercantile Exchange. Dan joined Futures in 2001 and in 2005 he was promoted to Managing Editor, responsible for overseeing all the content that went into Futures and Dan’s incisive reporting and no-holds barred commentary places him among the most recognized national media figures covering futures, derivative trading and alternative investments.

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