The BTOP50 Index, which tracks the 50 largest investable CTAs, also fell, registering a loss of 2.60% in June, and is down 4.77% for the year as well.

"The first half of 2017 has been difficult for the CTA industry," says Sol Waksman, founder and president of BarclayHedge. "The combination of low volatility and sharp trend reversals has helped to suppress returns for managed futures."

Subsectors also decline

Three of the six fund sub-indices measured by BarclayHedge also recorded declines in June. Financials/Metals led the way with a 1.63% fall, followed by declines of 1.48% for Systematic and 1.43% for Diversified traders. Agricultural and Discretionary posted gains of 1.09% and 0.45% respectively in June, while Currencies edged up a modest 0.03%.

Year to date, Agricultural is the best performing sector with a gain of 1.76%, while Diversified lags all other sectors with a 3.90% decline. Results are mixed for the four remaining indices, with Financial/Metals up 0.44%, Currencies up 0.38%, Discretionary down 0.13%, and Systematic down 2.46%.

"Financial/Metals had been the best performing sector through May, but a combination of choppy markets for precious metals and some surprises in fixed income wiped out a good part of those gains in June," said Waksman. "Agricultural, on the other hand, has shown steady but unspectacular gains and now stands as the best performing Index for the year."