Managed futures lost 0.91% in March according to the Barclay CTA Index compiled by BarclayHedge. Year-to-date, the Barclay CTA Index is down 0.39%.
“Perilous crosscurrents wrought by devastation in Japan, unrest in the Middle East, and higher headline inflation generated turmoil in futures markets,” says Sol Waksman, founder and president of BarclayHedge.
Four of Barclay’s eight CTA indices had negative returns in March, while four indices had gains. The Barclay Diversified Traders Index fell 1.71%, and Systematic Traders were down 1.56%.
“The fallout from mid-month trend reversals in capital and commodity markets hit diversified trend followers harder than other sectors," says waksman.
On the positive side, Discretionary Traders gained 0.83%, Agricultural Traders were up 0.73%, and Currency Traders gained 0.59%.
“There was no respite for a declining US dollar as the ECB clearly signalled its inflation concerns and intentions to raise rates,” says Waksman. “Currency traders have been able to profit from this ongoing trend.”
The Barclay BTOP50 Index, which measures performance of the largest CTAs, lost 1.59% in March, and is down 2.39% for the year.