CTAs Fall Short In April

May, 2017

Societe Generale Prime Services today announces the April 2017 performance data for its SG CTA indices.

 

April 2017

YTD

SG CTA Index

-0.15%

-0.09%

SG CTA Mutual Fund Index

-0.59%

-0.53%

SG Trend Index

-1.03%

-1.88%

SG Short Term Traders Index

-0.89%

-6.29%

SG Trend Indicator

3.36%

-3.89%

Although CTA performance improved relative to previous month, all SG Managed Futures indices fell just short of breaking through into positive territory at the end of April 2017.

Trend-following had another challenging month in April. The SG Trend Index was down -1.03, and with 80% of constituent CTA trend strategies contributing negative performance, it underperformed the other CTA indices.

It was a mixed result for the broader SG CTA Index, with 8 out of the 20 constituent strategies contributing positive performance, and the index remains flat for year.

The SG Trend Indicator slightly outperformed the Trend Index in April, with positive contributions from trends in commodities, equities, and currencies. The strongest performance driver so far this year has come from equities; continued upward trends contributed +1.23% in April, and +6.24% year to date. The Trend Indicator currently holds long positions in all but one global equity index, and has held its long position in the FTSE 100 for over 400 days.

The Trend Indicator model also benefitted from a new long position in GBP vs USD, a trend which was initiated in the middle of April, and which by the end of the month had contributed +0.61%.

The Commodity sector contributed +1.27%, the best monthly contribution from the sector since December 2015. Commodity gains were predominantly from short positions in energy and agricultural markets, and made back part of the losses from earlier in the year, but still remain down -3.29% year to date.

Tom Wrobel, Director of Alternative Investments Consulting at Societe Generale Prime Services, said:

“Although performance of managed futures strategies in our indices was mixed again this month, we have seen the emergence of some new trends which will be interesting to watch. Equities, currencies and commodities all contributed positive performance in our trend indicator at the end of April, but it will have to be seen whether these will continue to develop – and whether other trend-following strategies hold and benefit from the same positions. Certainly, equity markets have consistently contributed positive performance this year, but CTAs will be hoping for diversification from directional moves in other markets.”