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Managed Futures Industry Posts Another Positive Month, Up 0.21% in May

Trend Reversal Incoming? Digital Asset Rally Slows Precipitously

FAIRFIELD, IOWA  June 07, 2023

The managed futures industry came out ahead in May, eking out a +0.21% gain according to the Barclay
CTA Index, compiled by Backstop BarclayHedge. Notwithstanding May’s progress, CTAs remained
underwater for the year-to-date interval, reporting a -0.71% loss.

“The feel-good story in managed futures-land continues to be the steady gains reported by its currency
traders. They are on pace to outperform their 2023 result, which itself was a record year for the
subsector,” reflected Ben Crawford, Head of Research at Backstop BarclayHedge. “The good vibes,
however, did not extend to those trading cryptocurrencies and other digital assets. After a torrid start to the year, the heat seems to have gone out of the market again, leaving observers to wonder aloud
whether the slowdown portends another steep trend reversal.”

Managed futures subsectors made up a mixed bag of results in May. On the positive side of the ledger,
the MPI Barclay Elite Systematic Traders Index strode to the front with a +1.37% gain for the month.
Behind it was the Currency Traders Index, which took another step forward in May with a +0.79%
pickup. The Systematic Traders Index was also in the mix, advancing by +0.61%, while the Diversified
Traders Index reported a +0.24% result.

CTA subsectors reporting May losses were led by the Cryptocurrency Traders Index which slipped -
4.43%. The Discretionary Traders Index also took its licks during the month and was off -1.15%. The
Financial/Metal Traders Index and the Agricultural Traders Index continued to struggle, sagging -10 bps
and -8 bps respectively.

For the year-to-date interval, with the exceptions of currency- and cryptocurrency-traders, all managed
futures subsectors were in the red. The Cryptocurrency Traders Index, which started 2023 on a bit of a
tear, built up a cushion of profits that have ably absorbed losses associated with a slowdown in digital
asset valuations throughout the late spring months. It remains ahead +29.91% through May. The
Currency Traders Index continued its winning ways in May, bringing it to a +4.15% compounded return
on the year-to-date period.

The Diversified Traders Index has had the worst time so far in 2023. It made a modest gain in May, but
remained -1.77% in the hole, year-to-date. Not far behind was the Agricultural Traders Index which
continued foundering in May, dropping its combined performance on the year to -1.46%. The MPI
Barclay Elite Systematic Traders Index, which celebrated its 5-year anniversary with a class-leading
return in May, still has a way to go to reach the black: Its year-to-date result was -1.16%. A decidedly
unpalatable May result carried the Discretionary Traders Index into negative territory for 2023, down    -0.69%. The Systematic Traders Index enjoyed a bit of good news in May, but it wasn’t enough to carry it out of the murk. Its year-to-date return sits at -0.67%. Finally, the Financial/Metal Traders Index is
down -0.33% for 2023.

“Despite mixed results amongst industry subsectors, the performance of two other groups stood out in
May: The largest CTAs and systematic traders. The MPI Barclay Elite Systematic Traders Index and the
Barclay BTOP50 Index both significantly outperformed their peers on the month—the second such
month of outperformance-- though both indices continued to trail the industry average return for
calendar year 2023,” observed Crawford.

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs open for new investment,
returned +0.91% in May. For the year to date the BTOP50 is down -1.24%.

For a complete table of Barclay CTA Index results as well as historical data, click here.

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