CTA global hit by weak bond markets
March was characterised by a recovery in stock markets, with positive performance following a downturn in February, while volatility, measured by the implied volatility index VIX, decreased slightly, after last month's rise. The bond markets exhibited negative performance after being positive last month. Commodity prices continued the rise initiated last month.
All strategies except CTA global delivered positive returns, and for the most part were in line with their average historical performance. Only event driven performed well above its average historical performance, while CTA global was considerably below. The best-performing strategy was event driven, with 1.64%. The lowest return was the -1.20% reported by CTA global.
The performance of CTA global managers remained poor this month. This may be explained by the negative performance of the bond markets. Surprisingly, convertible arbitrage fell sharply compared despite the stock market recovery. This occurred after several months' positive performance.
Two of the three equity-orientated strategies - equity market neutral and long/short equity - strongly improved their performance compared to last month, benefiting from the positive performance of the stock markets, while the return of the third equity strategy - event driven - maintained its good performance.
Mathieu Vaissié is research engineer with the Edhec Asset Management Centre