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B. G., Opalesque Geneva: Commodity prices except for oil retreated during May 2022 owing to the concern over an impending global recession driven by the hawkish Federal Reserve and geopolitical uncertainty. The Eurekahedge CTA/Managed Futures Hedge Fund Index was down -0.20% in May (+8% YTD), snapping its five-month winning streak.
Similarly, the HFRI Macro: Systematic Diversified Index is up 14% YTD after losing -0.7% in May, and the Barclay CTA Index is up 8% YTD after losing -0.1% in May. That month, energies lead gains, buoyed by the short-term trading strategies, while currencies, grains, and ags detracted, said a CTA manager. Sector benchmark Barclays BTOP50 CTA gained 0.28%.
The J8 Global Absolute Return Strategy (J8 GARS), on the other hand, gained 2.4% in May to reach a 23% YTD return.
J8 GARS is formulaic and fully systematic. It trades liquid exchange-traded futures on 20 commodity markets, futures on liquid currencies, and futures on North American and European government bond markets only. It does not trade futures on equity markets. It uses long-term price trends, demand and supply dislocations in the term structure, interest rate differentials, ...................... To view our full article Click here
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