Based on preliminary data from the Newedge CTA Index, Credit Suisse Dow Jones Core Managed Futures Index, and the performance of the CTAs we track here at Attain, we are estimating managed futures finished May down -5.15%.

Looking at the CTAs we track, it really was a feast or famine month for managed futures. Much of these losses were posted by systematic traders who got thrown for a loop by the early May sell-off and never had a shot at recovery even though bonds (a traditional strong point) trended nicely upwards throughout the month. Some short-term programs were able to turn things around, and several of the option traders we track pulled out a winning month, but by and large, managed futures appears to have struggled in the month of May enough to turn their 2011 returns negative. Here’s hoping to a better June and second half of the year.

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