In case anyone needed one, June served as a clear reminder that the markets can giveth, and the markets can taketh away. After a stellar month of performance in May, we were nervous that June would reverse those gains, and that’s exactly what happened. The Newedge CTA Index* is showing managed futures down -2.92% for June, wiping out the nice May gains to bring year-to-date performance down to -1.05% (Disclaimer: past performance is not necessarily indicative of future results).

The issue in May was the dreaded V-Shaped rally in stocks, currencies, and some other markets; which saw several markets bounce higher off the new 2012 lows they registered in May. The exception was the energy complex, which wasn’t seeing the bounce… until a massive rally on the last day of the month (Crude was up 9.36%).  The bounces were not what managed futures programs holding short positions wanted to see, and many are no longer “short the boat” as we head into July.

Clarke Capital Worldwide illustrated the May-June give and take in a big way – up 28.42% in May, and down an estimated -18.15% in June, for a gain of 5.11% for the two months combined. Many other CTAs followed a similar, if less dramatic pattern. The exception here was agriculture programs – where several programs were able to post solid positive returns, including Rosetta (up 9.6%) and Tanyard Creek Capital (up 7.81%); thanks to tight supply and weather concerns causing corn and wheat prices to surge in June.  All in all, it was a far cry from the worst month we’ve ever seen, but it wasn’t pretty, either.