Managed futures followed losses in May with more in June, with the Newedge CTA Index finishing at -1.49% to close out the 2nd quarter with the first back to back losses of 2013.
It was a strange month, with the biggest trend reversals coming in the markets managed futures are supposed to be diversifying you from – stock indices (selling off in June after 6 straight months of gains). But a trend is a trend and most managed futures programs had been long US and foreign stock indices. The other trend reversal of note dragging down some performance was the Japanese Yen, which most every trend follower we track short at some point last month.
Elsewhere, bonds continued their down move, as did the Aussie Dollar and metals. The silver lining… managed futures remain up slightly for the year, at +1.04% YTD for the Newedge CTA Index.