Following a marginal uptick in performance in June, CTAs faced headwinds again as all the Societe Generale (SG) indices posted negative returns in July.
Although the performance was up in the first half of the month, conditions became challenging in the second half. The SG CTA Index was up 1.44% and the SG Trend Index 2.24% mid-month, however by the end performance was down -0.71% and -0.81% respectively.
Performance was dispersed as five out of 20 constituent managers in the CTA index posted marginally positive returns. In particular, it was a disappointing end of July for trend followers despite a good start to the month, due to losses in bonds, currencies, and commodities at the end.