All of Societe Generale’s (SG) CTA indices were down in October and are now in negative territory year-to-date.
The SG CTA Index was down 2.79% and the SG Trend Index was down 4.29%. The short-term and quant macro strategies fared considerably better as the SG STTI Index was down marginally by 0.40%.
Continuing from September's dip, losses were driven primarily by trend-following strategies, with losses in commodities, equities and bonds.
Commodities were a particular drag on results, with the upwards trend reversing and the oil market losing 1.58%. A number of long equity market positions also reverted, while bond markets rallied against the developing downwards trend, leading to losses in many of these markets.