Managed futures slipped 1.16% in March, according to the Barclay CTA Index compiled by BarclayHedge. The index is now down 1.59% in 2009.
Diversified traders lost 1.93% in March, systematic traders fell 1.61%, and financial/metals traders were down 0.27%. The only winning CTA strategy in March was Barclay’s Discretionary Traders Index, which gained 0.24% in March, and is up 0.90% at the end of the first quarter 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.
After gaining an impressive 26.55% in 2008, diversified traders are struggling to get their rhythm, losing 2.49% in the first quarter of 2009, continues Waksman.
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.
L.D.