Newedge posts the monthly performance data for its AlternativeEdge Short-Term Traders and CTA Indices.
The AlternativeEdge Short-Term Traders Index (STTI) finished the month of March down 2.19% (-1.34% YTD). The Newedge CTA Index posted its first negative month since August of 2008. The index was down 2.41% in March and is down 2.12% YTD.
March proved to be a difficult environment for both long- and short-term trading strategies. Among the 27 constituents of the STTI, three posted positive performance: Banyan Capital Management, Cabana Capital Management and Crabel Capital Management (Multi-Product). Similarly, only two of the 20 Newedge CTA Index constituents posted positive performance: QFS Asset Mgmt. (QFS Currency) and Eagle Trading Systems (Yield).
March was a unique month in that there were a large number of managers that posted negative returns but the depth of drawdown remained relatively shallow, says Brian Walls, chairman of the Newedge Index Committee.
L.D.