SG: Mixed Performance From CTAs In March

April, 2017

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

 

March 2017

YTD

 
 

SG CTA Index

-0.75%

0.32%

 
 

SG CTA Mutual Fund Index

-1.14%

0.09%

 
 

SG Trend Index

-2.26%

-0.65%

 
 

SG Trend Indicator

-2.29%

-7.01%

 
 

SG Short Term Traders Index

0.62%

-5.45%

 
 
March produced mixed returns for CTA strategies; the SG CTA Index finished the month down -0.75%, with positive contributions from five out of the twenty constituent CTAs. Short Term Traders produced the first positive return for the index this year, turning around two previous negative months performance, ending up +0.62%.

Trend followers lagged other CTA strategies, the SG Trend Index was down -2.26%, and the SG CTA Mutual Fund Index returned -1.14%. Overall, however, the CTA index and CTA Mutual Fund Index are still in the black year to date.

The SG Trend Indicator closely mirrored the returns of the Trend Index, and saw positive contributions from long trends in equity indices (+2.47%), and small interest rate sector  gains (+0.02%). The main negative contributors were commodities (-2.13%), currencies (-1.68%), and bonds (-0.79%). The currency sector has been particularly challenging for trend following strategies, with no clear directional trends this year, down -5.81% YTD. 

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

“Market conditions are currently challenging for many CTA strategies. Stock indices continue to be the main driver of performance for trend followers, with few discernible trends in other asset classes so far this year. Recent market volatility and fluctuations have resulted in mixed performance for CTAs, providing opportunities for some managers and emphasising the range of different CTA strategies in the industry. With further political uncertainty to come, especially in Europe, the long-term diversification benefit of managed futures strategies holds true.”