In March 2025, the NHX CTA Index was down amid several intra-month reversals across markets as profits in commodities were not enough to offset losses in financials. Performance was mostly negative across managers and sub-strategies.
Last month, TSMOM, as measured by RPM’s Market Directional Indicator (MDI), slumped to its lowest level year-to-date amid several intra-month reversals across financial markets. In equities, U.S. stocks first tumbled into correction territory, while the VIX spiked to levels not seen since August of 2024, on concerns about the economic fallout from President Trump’s aggressive tariff policies before partially rebounding after the Fed had kept interest rates on hold but had signaled openness to reductions later in the year. Towards month-end, stocks sank again amid renewed tariff and stagflation fears.
In fixed income and foreign exchange, markets made U-turns with bonds rallying and the U.S. dollar slumping on lower-than-expected CPI readings and expectations that slowing growth would eventually push the Fed to keep cutting rates. In commodities, oil prices fell after OPEC+ confirmed production increases, while natural gas lost ground on a milder-than-expected weather outlook. In softs, soybean and grain futures rebounded briefly but markedly at the beginning of the month on optimism that the US would come to an agreement with Canada and Mexico to avoid prolonged tariffs. Only in metals trendiness proved to be somewhat more resilient as gold surged to a record high above $3,000 per troy ounce, as fears over the threat to global growth from Trump’s trade war pushed investors into the safe-haven metal. Cryptocurrency prices declined last month, mirroring stock markets.
Sub-Strategies and Constituents in the NHX CTA Index
Most NHX trend-following managers were down in March, with performance varying based on their relative exposure to financials versus commodities. SEB Asset Selection, Mandatum Managed Futures Fund, and Lynx all ended the month in the red, primarily due to losses in fixed income and FX markets. Crypto specialist manager Anna Fund was down as well. In contrast, commodity-focused manager Calculo Evolution Fund and Estlander & Partners’ Alpha Trend Program recorded positive returns for the month.
Most managers outside the traditional trend-following space in the CTA Index were down as well. Shorter-term trading strategies – Arden xFund, Epoque, and Lynx Constellation – were all down mainly due to losses in currencies. Estlander & Partners Freedom and Volt Diversified Alpha also generated negative performance mainly due to losses in equities, whereas Lynx Systematic Macro managed to end the month in positive territory. Finally, multi-manager program RPM Evolving CTA Fund was down as well as the underlying managers’ profits in precious metals were not enough to offset losses in currencies.
The U.S. economic slowdown is upon us, as is the end of the U.S. exceptionalism trade. Trade wars and tariff threats have begun to take effect, but inflation is also coming down, giving the Fed more room to maneuver moving forward. For now, the market direction remains unclear.
