CTA's Drag Down Hedge Fund Returns

The market reversal from early February took a heavy toll on CTAs. CTAs are down almost 5% on a monthto-date basis according to the Lyxor CTA Index. Other measures of CTA performance point to a drawdown that was more severe, i.e. in the -5/ -10% range. Meanwhile, their deleveraging during the selloff suggests they may have lagged the market recovery during the recent days.