With markets in turmoil resulting from the economic impacts of the coronavirus, managed futures made good on its diversification thesis and gained 1.94% in March according to the Barclay CTA Index compiled by BarclayHedge, a division of Backstop Solutions. Year-to-date, CTAs have gained 1.88%.
“Fear driven selling picked up steam in March and continued to drive equity and energy markets sharply lower. At its intramonth low point, the S&P 500 Index was down 26% and crude oil dropped to levels not seen for 18 years,” said Sol Waksman, president of BarclayHedge. “At mid-month, investors piled into gold, US dollars and US Treasuries seeking safety from the storm.”
All Barclay CTA Index subsectors but two were in the black for March led by the Currency Traders Index which was up 3.15% for the month. The Systematic Traders Index gained 2.66% in March, the Diversified Traders Index returned 2.74%, the Agricultural Traders Index gained 0.80% and the Discretionary Traders Index was up 0.42%.
The two sectors in the red in March were the Cryptocurrency Traders Index, down 10.04%, and the MPI Barclay Elite Systematic Traders Index, off 2.41% for the month.
Most sectors were in the black for the year-to-date through March. The Currency Traders Index set the pace with a 6.76% year-to-date return, the Cryptocurrency Traders Index was up 6.31%, the Systematic Traders Index returned 3.26% and the Diversified Traders Index gained 2.73%.
The lone losers for the year-to-date were the MPI Barclay Elite Systematic Traders Index, off 4.07% through March, and the Discretionary Traders Index, down 0.43%.
The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment, was down 1.11% in March and down 2.39% year-to-date.
For a complete table of Barclay CTA Index results as well as historical data, click here.
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BarclayHedge, a division of Backstop, currently maintains data on more than 7,100 hedge funds, funds of funds and CTAs. The BarclayHedge Indices are utilized by institutional investors, brokerage firms and private banks worldwide as performance benchmarks for the hedge fund and managed futures industries.