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“Global interest rates pushed higher and created losses for managers that were positioned for lower rates, particularly in the European and Japanese markets,” says Sol Waksman, founder and president of BarclayHedge.

Four of Barclay’s eight CTA indices lost ground in May. The Diversified Traders Index was down 0.62%, and Systematic Traders gave up 0.42%.

“Most managers continued to profit from the strength of the US Dollar against the Yen, Euro, and Australian Dollar. But some managers, after a six week rally in the Brazilian Real, went long the Real versus the US Dollar just as it dropped more than five percent, taking their portfolios down with it,” says Waksman.

On the positive side, Agricultural Traders gained 0.81% in May, Discretionary Traders and Financial/Metals Traders both added 0.20%, and Currency Traders gained 0.15%.

After five months, the Financial/Metals Traders Index is up 3.26%, Currency Traders have gained 2.89%, Systematic Traders are up 1.23%, Diversified Traders have added 0.72%, and Discretionary Traders are up 0.70%.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, lost 0.71% in May. The BTOP50 is up 1.23% through the end of May.

Press Release