Lipper Tass: Managed Futures Decline In March

Apr 23 2009 | 7:42am ET

Similar to February’s performance pattern, March ended in negative territory for many managed futures managers. The sub-strategy fell 0.43% on the month, and is down 2.91% since the beginning of the year, almost matching the negative return posted in first quarter 2007.

Reversing the gains of the previous two months of the year, managers with assets in excess of US$45 million posted worse-than-average returns in March, dropping 1.53% month on month—110 basis points below the average reading for the strategy, according to Lipper Tass.

Systematic diversified managers struggled in March, failing to participate in a systematic way in market movements built on buy-and-sell signals. The U.S. Federal Reserve’s determination to implement quantitative easing measures and the materialization of details on the U.S. fiscal stimulus plan and financial market support contributed to reversing trends in a number of asset classes.

Systematic managers were caught on the wrong trend side in the second half of March as risk appetite drove the upturn in the global stock markets. The corporate sector also benefited from this trend. Conversely, discretionary traders posted positive returns during the month. Algorithmic trading and high-frequency-trading strategies suffered because of large non-directional volatility changes.


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Chicago-based independent futures brokerage and clearing firm R.J. O’Brien & Associates (RJO) has hired industry veteran Daniel Staniford as Executive Director, responsible for the firm’s institutional business development in New York and London.

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