CTA strategies, hedge funds using futures contracts, have posted their third consecutive month of negative performance.

All five daily indices that Societe Generale’s prime services unit calculates were down in May.

The flagship SG CTA Index, which measures a broad range of managed futures strategies, has also dipped just below zero in year-to-date terms.

“Our indices show that the continued absence of consistent market trends is making it hard for managed futures strategies to consolidate gains – especially among trend followers,” said James Skeggs, global head of alternative investments consulting at Societe Generale Prime Services.

Short term trading strategies continue to be the best performers, with the SG Short Term Traders Index dipping to -0.93% in May, but still positive for the year so far, at 4.18%.

The SG Trend Indicator showed that the currency sector was the main contributor to negative portfolio returns, detracting -5.33%, due to short US Dollar positions making losses as the US Dollar rallied against most major currencies.

Other sectors were more varied, with bonds and equity indices contributing positive returns, compared to negative returns from commodities and interest rates.

Precious metals were a particularly difficult sub-sector, as long gold and silver positions gave back their April gains, contributing a combined -1.48%.

“The high correlation of our Trend Indicator to the Trend Index gives a good idea of the markets that have been challenging for these strategies, and returns from currencies appear to have been particularly volatile,” added Skeggs.

“Some market watchers are starting to call a rally in commodity markets, and with the price of crude oil now bouncing back from its low point in January, we have seen the beginning of an energy trend with CTA strategies currently well positioned to extract returns from these markets in coming months.”