Barclay CTA Index returns 1.94 per cent in March

With markets in turmoil resulting from the economic impacts of the coronavirus, managed futures made good on their diversification thesis and gained 1.94 per cent in March according to the Barclay CTA Index compiled by BarclayHedge, a division of Backstop Solutions. 

Year-to-date, CTAs have gained 1.88 per cent.

“Fear driven selling picked up steam in March and continued to drive equity and energy markets sharply lower. At its intra-month low point, the S&P 500 Index was down 26 per cent and crude oil dropped to levels not seen for 18 years,” says Sol Waksman, president of BarclayHedge. “At mid-month, investors piled into gold, US dollars and US Treasuries seeking safety from the storm.”  

All Barclay CTA Index sub-sectors but two were in the black for March led by the Currency Traders Index which was up 3.15 per cent for the month. The Systematic Traders Index gained 2.66 per cent in March, the Diversified Traders Index returned 2.74 per cent, the Agricultural Traders Index gained 0.80 per cent and the Discretionary Traders Index was up 0.42 per cent.

The two sectors in the red in March were the Cryptocurrency Traders Index, down 10.04 per cent, and the MPI Barclay Elite Systematic Traders Index, off 2.41 per cent for the month.

Most sectors were in the black for the year-to-date through March. The Currency Traders Index set the pace with a 6.76 per cent year-to-date return, the Cryptocurrency Traders Index was up 6.31 per cent, the Systematic Traders Index returned 3.26 per cent and the Diversified Traders Index gained 2.73 per cent.

The lone losers for the year-to-date were the MPI Barclay Elite Systematic Traders Index, off 4.07 per cent through March, and the Discretionary Traders Index, down 0.43 per cent.

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment, was down 1.11 per cent in March and down 2.39 per cent year-to-date.