Industry Updates

Barclay CTA Index down 1.21% in March (-0.23% YTD); two-thirds of CTAs report losses

Tuesday, April 17, 2012

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Opalesque Industry Update: Managed futures lost 1.21% in March according to the Barclay CTA Index compiled by BarclayHedge. The Index is down 0.23% after the first three months of 2012.

“Losses for March were widespread, as 66 percent of reporting managers ended the month in the loss column,” says Sol Waksman, founder and president of BarclayHedge.

“The river of red was wide, but fortunately it wasn’t deep.”

Six of Barclay’s eight CTA indices lost ground in March. The Barclay Diversified Traders Index dropped 1.85%, Systematic Traders were down 1.59%, Financial & Metals Traders lost 1.05%, and Currency Traders slipped 0.38%.

“US equity markets moved higher for another month, but gains from long positions in this sector were not enough to overcome losses in the other sectors,” says Waksman.

“Commodity prices moved lower on concerns of slowing in China, which in turn negatively impacted currencies of countries that are large exporters of commodities. Prices for US Treasuries also dropped in March.”

On the positive side of the ledger, the Barclay Agricultural Traders Index gained 1.80% in March, and Discretionary Traders added 0.39%.

“Discretionary traders are not as dependent on momentum driven trends as most other CTAs, and were able to eke out a profit in a difficult month,” says Waksman.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, dropped 1.66% in March, cancelling out gains of 0.61% and 0.60% in the first two months of 2012. At the end of the first quarter, the BTOP50 is down 0.46%.

BarclayHedge

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