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CTA Performance Improves as Trends Return to Markets

All of the Societe Generale (SG) CTA indices posted positive performance in March, with trend followers in particular performing well.

The SG CTA Index returned 3.4% last month, which means that it’s now up 1.88% for the year, while the SG Trend Index posted returns of 5.46% in March, and so ends the first quarter of 2019 up 2.89%.

Attribution data from the SG Trend Indicator suggests that the upward trend in bond markets was the main driver of positive performance in March, contributing 5.95% at the portfolio level. The renewed upward trend in equity indices was another positive contributor, as well as declines in the euro and Canadian dollar compared to the US dollar. However, commodities contributed negatively to the portfolio as markets adapted to new directions, and the sector lost 1.25%.

The short-term CTA strategies were also positive on average in March; however, the individual performance was mixed as only six out of 10 constituents were positive. Although the SG Short Term Traders Index was up 0.92% in the month, it remained slightly in negative territory for 2019 year-to-date.

Overall, March was the best month for CTAs since the beginning of last year in terms of returns, according to the SG data.

“It is encouraging to see CTAs’ positive performance in March, following a prolonged period of challenging market conditions last year and the beginning of 2019. Trend following strategies have delivered impressive returns with positive contributions from a range of markets, and we will keenly see if this continues in the year’s next quarter,” says Tom Wrobel, director of alternative investments consulting, at SG Prime Services.



Galen Stops

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