So much for being uncorrelated to the stock market.
Commodity trading advisors, also known as managed futures, mostly posted losses in March amid the global sell-off in stocks. This is not supposed to happen. Several funds have stayed in the black for the year, but many fell more than the stock market.
Perhaps the biggest winner so far in 2025 is the QMS Diversified Global Macro strategy, which was up 14.06 percent in the first quarter after tacking on 0.36 percent in March, according to a private CTA database. The systematic, long-short investment strategy trades in highly liquid global futures and forwards, including equity indices, sovereign rates and bonds, commodities, and currencies.
Some funds lost money in March but managed to remain in the black for the quarter.
Mulvaney Global Markets Fund, for one, dropped 5.15 percent in March but gained 2.44 percent for the quarter, a CTA database reveals. The program invests in futures contracts linked to a diverse range of commodities and financial assets, according to the fund’s description.
The Quantedge Global Fund lost about 1.6 percent in March but is still up 4.81 percent for the year, according to a different database. The systematic quantitative investment strategy is diversified across multiple asset classes such as equities, bonds, commodities, currencies, and insurance-linked securities, the fund’s website says.
Other CTAs lost money last month and are in the red for the first quarter.
For example, the Tulip Trend fund dropped 4.1 percent and is now down 22.2 percent for the year, according to the firm’s March monthly report.
“Predominantly falling stocks led to more losses on longs than profits on shorts,” the fund told investors. But it stressed that its largest losses resulted from the rising value of the euro, “both within the currency cluster and against commodities.” The euro’s upswing contributed to net losses in energy and agricultural markets, the report noted. The largest profits came from long positions in metals, led by gold and tin.
The DUNN World Monetary & Agriculture Program (WMA), meanwhile, lost 6.89 percent in March and has now dropped about 5.8 percent for the quarter. The World Monetary & Agriculture Institutional Program — a one-half leverage version of the strategy — fell 3.44 percent in March and 2.69 percent for the quarter, according to the firm’s monthly client report, seen by Institutional Investor.
DUNN said it suffered moderate losses in stocks, currencies, and energy and a small loss in volatility. It enjoyed small to moderate gains from metals, fixed income, and agriculturals. The firm noted that entering March, it reduced the portfolio’s overall risk exposure in response to increasing volatility and changing signals.
Heading into the second quarter, DUNN said long stocks was still the most substantial position in the portfolio. “However, during the first few trading days of April, exposure in stocks reduced significantly,” the report said. Agriculturals, energies, and currencies against the U.S. dollar all ended the month with a moderate net short exposure, followed by a medium-size net long position in metals.
“WMA’s fixed-income exposure flipped to net long and continues to build into this trade,” it added as the VIX, a gauge of volaility, ended the month virtually flat.
Elsewhere, the Aspect Diversified Fund declined by 2.27 percent last month and is down 4.31 percent for the year, according to the hedge fund database. Transtrend Enhanced Risk is off 10.87 percent for the year after losing nearly 2 percent in March.
