Managed futures funds reversed course in June losing -0.18% following four consecutive months in the black, according to the Barclay CTA Index, compiled by BarclayHedge, a division of Backstop Solutions. The year-to-date picture remained positive, however, with CTAs up 4.69% cumulatively through June.
Losers outnumbered gainers for the month among individual managed futures sectors tracked in the Barclay CTA indices, although every sector also remained in the black for the year-to-date interval.
CTA sectors gaining ground in June were led by the Currency Traders Index which returned +1.47%. The Discretionary Traders Index advanced +0.21% and the Agricultural Traders Index gained +0.12%.
“While energy was a bright spot in June, rising inflation, an ongoing slump in Treasury yields and concerns over the Delta variant’s potential economic impacts caught some investors on the wrong foot,” said Ben Crawford, Head of Research at BarclayHedge. “Meanwhile, crypto markets continued to get rocked, buffeted by news of an on-going mining crackdown in China and the revelation that U.S. officials had successfully recovered over $2.3 million dollars of the Colonial Pipeline ransom which had been paid in Bitcoin.”
Sectors posting monthly losses included the Cryptocurrency Traders Index which shed -7.35%, the Diversified Traders Index (-0.61%), Financial & Metal Traders Index (-0.40%), the Systematic Traders Index (-0.39%), and the MPI Barclay Elite Systematic Traders Index (-0.34%).
Despite two consecutive months of heavy losses, the Cryptocurrency Traders Index continued to lead all CTA sectors with a cumulative year-to-date return of +80.16%. Other notable year-to-date performers were the MPI Barclay Elite Systematic Traders Index (+8.21%), the Diversified Traders Index (+7.09%), the Discretionary Traders Index (+6.07%), and the Systematic Traders Index (+4.31%).
The Barclay BTOP50 Index, which tracks the performance of the largest CTAs open for new investment, was down -0.25% in June. Nevertheless, on the year-to-date interval the BTOP50 has enjoyed cumulative returns of +5.84%.
For a complete table of Barclay CTA Index results as well as historical data, click here.
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BarclayHedge, a division of Backstop, currently maintains data on more than 7,100 hedge funds, funds of funds and CTAs. The BarclayHedge Indices are utilized by institutional investors, brokerage firms and private banks worldwide as performance benchmarks for the hedge fund and managed futures industries.