Managed futures managers posted a negative 0.43 per cent return on average in US-dollar terms in March and minus 2.91 per cent since the beginning of the year, almost matching the negat
Managed futures managers posted a negative 0.43 per cent return on average in US-dollar terms in March and minus 2.91 per cent since the beginning of the year, almost matching the negative return posted in first quarter 2007, according to Lipper Tass.
Reversing the findings of the previous two months of the year, managers with assets in excess of
USD45m returned a worse average reading in March at minus 1.53 per cent month on month-110 basis points below the average reading for the strategy.
Systematic diversified managers struggled in March, failing to participate in a systematic way in market movements built on buy-and-sell signals. The Lipper Tass report says the US Federal Reserve’s determination to implement quantitative easing measures and the materialization of details on the US fiscal stimulus plan and financial market support contributed to reversing trends in a number of asset classes.
Systematic managers were caught on the wrong trend side in the second half of March as risk appetite drove the upturn in the global stock markets. The corporate sector also benefited from this trend. Conversely, discretionary traders posted positive returns during the month.
Algorithmic trading and high-frequency-trading strategies suffered because of large non-directional volatility changes. The VIX or CBOE index of S&P 500 options prices-the thermometer of investor fear and investors’ engaging in the US Treasury market-surged in the first week of March and then tapered off at the end of the month.
Short trading positions on stock market indices were unprofitable as global developed markets turned around in March-acting in unison for the month-with Korea standing as the best performer.
Emerging markets posted gains during the month, with Peru and Russia ranking at the top of the performance league table.
Agricultural commodities were up during the month, and base metals trended higher. Heating oil, natural gas, and crude oil indices ended the month higher, although embedding significant volatility levels. Copper price trended higher in March, despite expectations of overall demand shrinking this year.
According to Lipper Tass, US soybean futures on the Chicago Board of Trade climbed at the end of the month-led by the nearby months on good export prospects-given some uncertainties in Argentina as Argentine farmers continue their strike against the government over the soy export tax and refuse to sell grains and livestock.
Interest rates ended lower across the entire spectrum of the US yield curve, with the yield curve ending almost flat from February’s close as ongoing purchases by the US Federal Reserve weighed, although the five-year and ten-year segments mainly benefited from the declining trend.
Conversely, the Eurozone yield curve showed a steepening bias in March, with the 30-year/2-year spread widening 19 bps. The Bank of England cut the benchmark rate an additional 50 basis points to 0.50 per cent in March over recessionary concerns, also announcing it would use quantitative easing measures. The European Central Bank cut to 1.50 per cent, the Swiss to 1.50 per cent, Norway to 2.00 per cent, and Canada to 0.50 per cent.
In the FX markets currencies were mixed as the US dollar depreciated 4.59 per cent against the euro and 6.15 per cent against the Swiss franc, while it appreciated 1.35 per cent against the Japanese yen, a mere 0.11 per cent against the pound sterling, and 8.16 per cent against the Australian dollar.