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Four of Barclay's CTA indices had gains in May, and four had losses. The Financial/Metals Traders Index was up 0.88%, Systematic Traders gained 0.13%, and Agricultural Traders added 0.06%.

"The seventh month of consecutive gains by global equities coupled with a bond market rally were the main drivers of CTA returns in May," says Sol Waksman, founder and president of BarclayHedge.

The Currency Traders Index lost 0.61% in May, Diversified Traders were down 0.11%, and Discretionary Traders gave up 0.10%.

"Currency markets were challenged as the US Dollar retreated to levels last seen at the onset of the Trump bump," says Waksman. "Declines in energies and metals markets also weighed heavily on CTA portfolios."

Year to date, the Financial/Metals Traders Index is up 2.14%, Currency Traders have gained 0.43%, and Agricultural Traders are up 0.22%.

The Diversified Traders Index is down 2.51% in 2017, Systematic Traders have lost 0.98%, and Discretionary Traders are down 0.71%.

The Barclay BTOP50 Index, which monitors the largest investable trading advisor programs, lost 0.12% in May and is down 2.48% year to date.