BarclayHedge’s CTA Index numbers are in for March, showing a return of -0.91% for managed futures as an asset class.
Overall, managed futures were down -.91 %, which is slightly better than what we had predicted at the end of March. The losses were seen in Diversified and Systematic Traders the most, while agricultural, currency, and discretionary traders, in particular, posted modest gains.
Why the difference? Diversified and systematic programs found themselves thrown for a loop by the disaster in Japan, which reversed existing up trends in everything from stock indices to grains to energies.