Managed futures slipped 1.16 per cent in March, according to the Barclay CTA Index compiled by BarclayHedge.
The index is now down 1.59 per cent in 2009.
‘The US Federal Reserve’s willingness to employ quantitative easing helped to drive interest rates and the US Dollar lower, while propelling prices for stocks and agricultural commodities higher,’ says Sol Waksman, founder and president of BarclayHedge.
‘Trend-followers, as a group, were on the wrong side of these markets when they changed direction mid-month.’
Diversified traders lost 1.93 per cent in March, systematic traders fell 1.61 per cent, and financial/metals traders were down 0.27 per cent.
‘After gaining an impressive 26.55 percent in 2008, diversified traders are struggling to get their rhythm, losing 2.49 percent in the first quarter of 2009,’ says Waksman.
The only winning CTA strategy in March was Barclay’s Discretionary Traders Index, which gained 0.24 per cent in March, and is up 0.90 per cent at the end of the first quarter in 2009.
‘Discretionary traders rely on judgment and experience to make trading decisions while systematic traders usually employ some form of momentum-based approach to guide trade selection,’ says Waksman.
