BarclayHedge released its May flash report on Monday for managed futures trading programs managing at least $50 million and it was not pretty. May was a tough month for commodity trading advisors (CTAs)as the preliminary report showed the Barclay CTA Index down 1.79% and the Barclay BTOP 50 Index down 2.49%.
The culprit for the poor performance appears to be the large reversal in commodities that started in 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 (largest managers by assets under management) is down 2.34%. This indicates a more difficult trading environment for managers concentrating their allocations in the most liquid sectors — financial and energies — as oppposed to managers with a broader allocation.
The following slide show illustrates what happened in May and in 2011 in general:
Sugar (Sugar's reversal was less dramatic and in the opposite direction but would have added losses, particularly as it was non-correlated to the prevailing trend in commodities):
The large financial and energy markets have been pretty choppy in 2011, which most likely lead to numerous false starts and stop losses.
E-mini S&P 500: