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"Profitable trading in energy, equity indices, and interest rates were not enough to overcome losses from trend reversals in the US Dollar and metals for traders with longer-term time horizons," says Sol Waksman, founder and president of BarclayHedge.

The Diversified Traders Index gave up 1.48% in May, Systematic Traders lost 1.02%, while Financial/Metals Traders broke even.

Four of Barclay's eight CTA indices did have positive returns in May. The Agricultural Traders Index gained 0.83%, Discretionary Traders were up 0.81%, and Currency Traders gained 0.70%.

"Currency managers with short-term time horizons had more success repositioning their portfolios to profit from the US Dollar’s trend reversal at the beginning of May," says Waksman.

Year to date, Currency Traders have gained 4.08%, the Financial/Metals Traders Index is up 1.80%, and Systematic Traders have gained 0.83%.

The Agricultural Traders Index has lost 1.03% in 2016, and Discretionary Traders are down 0.07%.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, dropped 1.59% in May, its third straight month with a negative return.