SG: CTA Performance Remains Flat In May

June, 2017

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

 

May 2017

YTD

SG CTA Index

0.00%

-0.06%

SG CTA Mutual Fund Index

0.01%

-0.52%

SG Trend Index

-0.35%

-2.21%

SG Short Term Traders Index

0.29%

-6.04%

SG Trend Indicator

3.42%

-1.12%

CTA performance on the whole was flat in May, remaining flat for the year 2017. The Short Term Traders Index fared slightly better and posted a positive return +0.29%, but all SG Managed Futures indices remain down year to date.

Trend-following had mixed fortunes in May, closing a challenging month down -0.35%, despite positive returns from four of the ten constituents in the SG Trend Index.

The SG Trend Indicator illustrated that there were return opportunities for trend followers, up +3.42%, with positive return contributions from 4 out of the 5 sectors. Long trends in equity indices continued to drive trend following returns, contributing 2.00% in May, and now up +8.60% YTD.

Similarly long positions in bond markets contributed +1.32%, reclaiming losses from earlier in the year; and commodity markets contributed a second consecutive positive month’s performance, primarily from short trends in the energy complex. Finally there were small gains from the currency sector, in particular short USD positions against CHF and EUR.

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

“Although performance of CTA strategies remains mixed this month, we observe the development of medium- and long-term duration trends, with 25% of market trends in position between 51-100 days, and 22% of market trend duration greater than 200 days. Equity markets have continued to contribute to positive performance this year, but we are pleased to see opportunities from a variety of other sectors, namely bonds, commodities, and currencies.”