BlueTrend isn't the only fund suffering. Money in managed futures funds have declined about 3.5 percent since the start of 2013 to $325.3 billion as of March 31, 2014, according to data tracker BarclayHedge. That's as overall hedge fund industry assets have surged, but more to other strategies such as stock picking and corporate activism.
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"It's been a pretty difficult environment for CTA funds over the past several years, quite honestly, and last year certainly wasn't easy," said Eric Siegel, head of hedge fund research and management at Citi Private Bank.
Siegel highlighted two broad reasons for managed futures hedge funds' poor performance.
First is the continued intervention of central banks in the economy. The flood of money into the financial system has made the prices of many types of securities relatively stable. That hurts trend followers, who tend to gain more in volatile markets (the Newedge Trend Index, which tracks funds in the sector, gained 20.88 percent in 2008 when the markets crashed, for example).
Second is the continued low rate of return on cash because of interest rates near zero. Managed futures funds tend to have lots of cash on their books relative to other strategies because the futures contracts they invest with don't require that the full amount of the bet be paid upfront.
"It's a double whammy from central banks' accommodative stance," Siegel said. "That's really been the issue."
That challenging environment has caused continued poor performance at many funds. The Newedge CTA Index is up just 0.13 percent this year through May after a tepid 0.73 percent return in 2013. The similar Newedge Trend Index is down 1.96 percent so far in 2014 after a small 2.67 percent gain 2013. Both indexes lost money in 2011 and 2012.
Prominent managed futures firms have produced mixed returns so far in 2014, representative of their varied computer models.