The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.24% loss in May. Year to date, the Index is down 1.76%.
“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.