Commodity trading advisors (CTAs) endured another difficult month in September, according to data from Societe Generale (SG) Prime Services.
Its flagship SG CTA Index ended the month down 1.2% and overall in Q3 it entered negative territory for the first full quarter since Q2, 2015.
All of SG’s managed futures indices had negative performance in September, with the SG Trend Index down -1.93%.
The SG CTA Index continues to lead performance year to date however, and is still in the black at 0.95%, followed by the SG Short Term Traders Index up 0.59%.
Attribution data from the SG Trend Indicator showed a mixed contribution to performance from different asset classes.
Equity indices and currencies contributed to positive returns – at 0.45% and 0.25%, respectively – benefitting from a variety of directional positions across markets.
In contrast, the commodities, bonds and interest rates sectors contributed -0.65%, -0.23%, and -0.08%, respectively. Despite challenges in the bond sector, the asset class remains the top contributor to year-to-date performance, at 6.78%.
“CTAs have had a strong run of performance, the third quarter of 2016 is the first negative quarter since Q2 2015, and this has been reflected in a corresponding uptick in interest from institutional investors.
“Trend following strategies have faced difficult market conditions, but currently have a high degree of position diversification, with both long and short positions within all asset classes. Year-to-date there are still positive figures, and we will look for a turnaround in Q4,” says Tom Wrobel, director of alternative investments consulting at SG Prime Services.