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Managed Futures Lose Ground in March, Down 1.44% for the Month

Managed Futures Lose Ground in March, Down 1.44% for the Month

FAIRFIELD, IOWA April 12, 2023

The managed futures industry took a step back in March, losing -1.44% for the month according to the Barclay CTA Index compiled by Backstop BarclayHedge.

The loss pulled CTAs into negative territory for 2023, down -1.32% through the end of March.

However, Discretionary CTAs and Currency Traders bucked the trend that encumbered so many of their peers in March. The Discretionary Traders Index picked up 0.73% and the Currency Traders Index advanced 0.59%. Cryptocurrency funds also continued to push their promising start to 2023. The Cryptocurrency Traders Index saw a 5.73% gain in March.

Subsectors posting losses in March were led by the MPI Barclay Elite Systematic Traders Index, which was broadsided with a -5.29% result. It was joined by much of the remainder of the industry, though to a less bombastic degree. The Diversified Traders Index, off -2.54%, the Systematic Traders Index, retreating -2.02%, the Financial & Metal Traders Index, losing -0.61%, and the Agricultural Traders Index, down -0.20%.

A difficult March swept most CTAs into negative territory for the year-to-date interval, but there were some notable exceptions. The Currency Traders Index, which had a banner year in 2022, is off to an even faster start in 2023. It is up an aggregate 3.98% through Q1 2023. The Discretionary CTA Index is keeping its head above the water, up 0.81% so far this year. The Cryptocurrency Traders Index pushed its strong start to an aggregate 30.64% for the first three months of 2023.

CTA subsectors reporting year-to-date losses included the MPI Barclay Elite Systematic Traders Index, down -4.17%, the Diversified Traders Index, off -2.50%, the Systematic Traders Index, losing -1.80%, the Agricultural Traders Index, retreating -0.71%, and the Financial & Metal Traders Index, down -0.19%.

“The banking crisis and subsequent price volatility in government debt and futures markets caught many CTAs on the wrong foot in March,” said Ben Crawford, Head of Research at Backstop BarclayHedge. “Of course, the month’s trends delivered positive results in some areas, notably cryptocurrencies which enjoyed significant gains in March driven by investors concerned about bank failures, inflation and volatility in other markets.”

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs open for new investment, was down -5.07% in March. For the year to date, the BTOP50 was down -3.82%.

For a complete table of Barclay CTA Index results as well as historical data, click here.


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Malea Lydon

BackBay Communications