Market Movers – March 2021

Rising sovereign bond yields were once again a major contributor to positive CTA performance during March. Many managers were able to profit from short positions in longer-dated government bonds, particularly in the U.S., as policymakers vouched to maintain accommodative fiscal and monetary policies.

Long-term U.S. government bonds had their worst quarter in four decades, resulting in significant profits for short positions. Successful vaccination programs, an improving economic outlook, and increased fiscal stimulus were the underlying factors that drove yields higher. Not only did the Biden administration’s $1.9 trillion relief bill pass in March but also plans for further stimulus in the form of a $2 trillion infrastructure bill have been announced as well, providing support for positive economic growth. Trend-following strategies benefitted the most from short positions in longer-dated treasuries as managers were able to capitalize on the decline in bond prices starting in January of this year.


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