March was a mixed bag of performance for the major asset classes. REITs (MSCI REIT) were the big winner last month, posting a strong 5.2% gain, in sharp contrast with a 4.1% loss for a broad definition of commodities (DJ-UBS Commodity). Returns within the global equity space varied quite a bit too, with U.S. stocks (Russell 3000) advancing 3.1% as foreign markets in developed nations (MSCI EAFE) suffered a slight loss of 0.5% as emerging markets (MSCI EM) fell 3.3% in March (in US $ terms).

The mixed-bag metaphor also applies within bond markets. Both foreign corporates (Citi Non-$ Corp) and emerging market bonds (Citi ESBI-Capped) were higher by 0.3% (in US $ terms) last month, but red ink wasn’t hard to find elsewhere in fixed income. Inflation-linked Treasuries were especially hard hit, falling 1.1% on the month.

Meanwhile, the Global Market Index, our passively weighted mix of all the major asset classes, inched higher in March by 0.3%. That’s the third monthly increase this year, albeit the smallest advance so far in 2012. Nonetheless, GMI is ahead for this year’s first quarter by 7.2%.