CTAs struggled in May as markets pulled back from established trends, according to the latest data by Societe Generale (SG) CTA indices.
The SG CTA Index was down 2.36% last month, however, it still remains in positive territory for the year at 2.22%.
Trend following strategies have performed well in 2019, but in May the SG Trend Index was down 2.47%. Year-to-date though, it is still in positive territory at 4.56%.
The SG Trend Indicator showed that equity indices and the energy complex were the most challenging sectors for trend followers to navigate, losing 5.65% and 3.40%, respectively, as markets reverted slightly from their previous upward trends.
Conversely, upward trends in bond markets helped contribute 4.69% at the portfolio level, as a result of long positions established at the end of 2018.
The only positive performing index in May was the SG Short-Term Traders Index (STTI), which was up 0.26%.
Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services, comments: “After a positive run over the last couple of months led by trend-following strategies, CTAs had a slightly more difficult May. Trend followers’ performance has been particularly impacted by equity indices and the energy markets. As we approach the second half of 2019, we will watch closely how market trends develop and whether there is a pick-up in volatility.”