At last, our long wait for a trading environment kinder to managed futures has been rewarded. While the big May sell-off was probably not what many investors were looking for, the strong trends in multiple markets were exactly what managed futures has been needing (up for US Dollar and US Treasuries, down for just about everything else). The Newedge CTA index* is reporting managed futures up 2.93% in May, bringing the index to a new 2012 high, and up 2.45% year-to-date.

As we noted yesterday, Clarke Capital led the way with a fantastic month of gains, profiting from the huge upswing in US Treasuries, with its Worldwide program finishing May up an estimated +28.04%. Other managers with big gains included short-term programs like Bouchard Capital (+5.08%), Dominion Capital (+6.22%), and Quantum Leap (+6.98%).

The news was not rosy for everyone, unfortunately. Agriculture programs were mixed, with several struggling to handle the sharp reversals in corn and wheat – leading to an average drop of -1.87% for the agriculture programs we track. Several options programs also took big losses, bringing the average losses of the options programs we track down to -1.45%. (DISCLAIMER: PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.)