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"Large system traders were the hardest hit by trend reversals in fixed income, energy, sugar and cocoa prices," says Sol Waksman, founder and president of BarclayHedge.

The new MPI Barclay Elite Systematic Traders Index (MBEST) lost 1.85% in May, Diversified Traders were down 0.64%, Financials and Metals Traders lost 0.44%, and Systematic Traders gave up 0.44%.

"The larger funds are not as nimble and can impact prices more than their smaller brethren when market positions need to be reversed," says Waksman.

On the positive side, Currency Traders gained 0.88% in May, and Discretionary Traders inched up 0.04%.

"The EUR has been weakening for the past two months, giving momentum traders plenty of time to establish their positions," says Waksman.

At the end of the five months, MPI Barclay Elite Systematic Traders are down 5.84%, Diversified Traders have lost 2.52%, the Systematic Traders Index is down 2.42%, and Financials/Metals Traders have lost 2.17%.

The Discretionary Traders Index has gained 3.02% in 2018, Currency Traders are up 2.36%, and Agricultural Traders have added 1.85%.

The BTOP50 Index, which is composed of the largest CTAs open to new investment, lost 1.99% in May, and is currently down 4.58% for the year.

The Cryptocurrency Traders Index, created by BarclayHedge, dropped 20.26% in May. This is the fourth loss in its first five months of trading. This volatile index is currently down 35.51% for the year.