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Managed futures funds advance solidly in May despite uneasiness elsewhere

Thursday, June 17, 2021
Opalesque Industry Update - Managed futures funds ground out another solid batch of returns this month, yielding 0.81% and making May the fourth period in a row of gains for the CTA industry. For the year-to-date interval, CTAs have earned their investors a return of 4.85% according to the Barclay CTA Index, compiled by BarclayHedge.

"A triumvirate of rosy economic forecasts, pent up consumer demand and continuing production backlogs propelled many commodities' prices well past their pre-pandemic thresholds to levels not seen in a decade," noted Ben Crawford, Head of Research at BarclayHedge. "With the exception of LNG, every category of energy and metal commodity fetched higher prices in May than in April."

Yet elsewhere in the market the mood was less ebullient. "May brought deepening worries over the reappearance of core inflation and with it choppy trading sessions in the equity markets. Crypto markets added to the uneasiness with a painful selloff that erased more than $1 trillion USD from its currencies' market caps," said Crawford.

Despite the mixed news in the broad markets, most CTA funds managed to find winning moves. Nearly all sectors tracked in the Barclay CTA Indices posted gains in May. The MPI Barclay Elite Systematic Traders Index led the way advancing 2.36%, while the Diversified Traders Index was up 1.19% and the Systematic Traders Index gained 0.90%. Others in the black for the month included the Currency Traders Index (0.61%) and the Discretionary Traders Index (.44%).

Sectors losing ground for the month included the Cryptocurrency Traders Index, down -12.91%, and the Agricultural Traders Index, off a modest -0.31%.

Despite May's losses, the Cryptocurrency Traders Index remained the year-to-date leader, up 94.89% through May. Other notable year-to-date performers included the MPI Barclay Elite Systematic Traders Index, returning 8.58%, the Diversified Traders Index, up 7.59%, the Discretionary Traders Index, gaining 5.63%, and the Systematic Traders Index, advancing 4.77%.

The lone sector in the red for the year to date was the Currency Traders Index, off -0.33%.

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs open for new investment, gained 2.15% in May. So far in 2021 the BTOP50 has returned 7.30%.

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