Managed futures experienced positive performance in March as managers were able to capitalise on long exposures to equities and industrial metals as well as large speculative short trades in the euro, sterling, and Japanese yen, according to a report by Lipper Tass.
The Lipper Managed Futures/CTAs index registered a positive return of 2.43 per cent for March.
The index ended the quarter down 0.88 per cent as January’s result more than offset positive performance for the remaining two months of the quarter.
The degree of dispersion among individual fund returns increased further from the previous month’s reading. A 43.25 percentage point monthly performance difference for March divided the top and bottom performers of the actively reporting managers tracked by Lipper.
March confirmed February’s readings. Managers with assets in excess of USD45m returned a better average performance at 2.76 per cent month on month—40 basis points above the average reading for the strategy.
Large managed futures managers returned a positive 0.80 per cent on average for the 12-month rolling period at the end of March 2010.
