CTAs struggled again in June, ending a short-lived upturn in what is becoming a very difficult year for most managed futures and trend-following strategies.
Most of the big-name managed futures programmes laboured. Winton Futures lost 1.27% in June for a year-to-date loss of 7.01%. Man AHL Alpha declined by 2.69%, bringing its year-to-date return down to -10.58%, while Man AHL Diversified fell by 3.49% for a year-to-date return of -14.33%. Aspect Diversified lost nearly 8% in June and is now down some 15% this year.
A handful of smaller managed futures strategies were able to pull off gains in