Following a strong start to the year, February was a challenging month for CTAs, with all of the Societe Generale CTA Indices in negative territory for the month.
The Short-Term Traders Index was down -4.29% but remains positive year-to-date (YTD), up +1.19%.
Conditions were particularly difficult for trend-followers which were down -8.96%, the worst monthly return since 2003 and the third worst since the inception in 2000.
The upward trends in equity indices experienced steep reversals, leading to losses of -5.47% in February and posting negative contributions YTD. The correction of equity markets may have led to position changes from long to short as markets became volatile.