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Alternative Market Briefing

CTAs are generating positive returns despite volatility

Thursday, March 17, 2022

Opalesque Geneva:

Some CTA/managed futures strategies are doing well so far this year. According to data provider HFM, managed futures posted their third consecutive month of positive returns in February, supported by the 30% gain of the S&P Goldman Sachs Commodity Index over the past three months. Managed futures and macro were the only two top-level strategy indices that posted positive returns in 2022 with returns of 3.2% and 0.9%, respectively.

The Eurekahedge CTA/Managed Futures Hedge Fund Index is up 2.3% YTD after returning 1.8% in February. The HFRI Macro: Systematic Diversified Index is up 3% YTD after returning 1.6% in February. And the Barclays BTOP50 CTA gained 1.15% in February; it is currently up 5% MTD.

"Geopolitical tensions, changing monetary policy and worries over economic slowdowns and stagflation have roiled markets and made for an exceedingly volatile start to 2022," ......................

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