SG CTA Indices: Modest gains in July

August, 2017

Following a frustrating period in June, three of the SG CTA indices posted positive performance in July according to Societe Generale Prime Services. The SG CTA index was up +0.73%, but still remains down year to date at -2.74%. The SG CTA Mutual Index was up +1.61%, putting it down only -0.85% year to date, and is the best performing index so far this year.
 
Short term trading strategies had a mixed July, flat -0.08%, and remain down -7.03% year to date. Trend followers fared slightly better as the Trend Index outperformed at the end of July, up +1.28%. The Trend Indicator performance was flat compared to the Trend Index.  
 
Compared to June, the Trend Indicator attributed positive contributions from the currency sector, up +3.43% primarily from downward trends in US Dollar. Furthermore, equity indices contributed 1.32% to the portfolio as a result of established long-term upwards trends, with some markets approaching 500 days in position. The performance in the commodities and bond sector was more mixed, contributing -3.90% and -0.96% respectively with no clear trends emerging.
 
Tom Wrobel, Director of Alternative Investments Consulting, at Societe Generale Prime Services, said: “The performance of CTA strategies improved in July compared to June, and trend followers made a modest gain. We observe that equity indices continued to be the main positive performance driver this year, long-term trends have contributed almost 10% so far this year. It will be interesting to see if any clear trends emerge in other sectors in the next few months, and whether short-term strategies will benefit from market fluctuations.”