Whipsawing markets take heavy toll on CTA strategies


Managed futures strategies generally fell victim to the whipsawing markets in March. Altis lost 8.05% in its Global Futures Portfolio and 7.28% in its Global Commodities Portfolio. Rivoli International lost 7.18% and Brummer & Partners Lynx was down 5.76%. Man AHL Diversified lost 4.67% while Mulvaney Global Markets dropped 4.62%.

QCM Global Natural Resources was down 4.06%, GLC Directional was down 3.88% and ISAM Systematic lost 3.73%. Man AHL Alpha took a 3.42% hit and Amplitude Klassik was down 2.98%. QCM Global Diversified lost 2.85% and Estlander & Partners Global Markets lost 1.35%.

BlueTrend was down just 81