Following on from an improvement in February and a strong March, April has been another positive month for CTAs, according to the latest data by Societe Generale (SG) CTA indices.
The SG CTA Index was up 2.76% in April, bringing it firmly into positive territory for 2019 year–to–date, to up 4.74%.
The strong performance has been driven by trend followers as the SG Trend Index was up 4.15% for the month and 7.16% year-to-date, ahead of the other indices, with all 10 of the index constituents in positive territory.
However, the Short-Term CTAs continued to find market conditions challenging and as a result, were down slightly by 0.30% in April.
Attribution data from the SG Trend Indicator suggests that CTAs benefitted from the return of trends in a variety of markets in April. The upward trends in equity indices contributed 3.73% to the portfolio, as the S&P 500 reached a record high at the end of April. Furthermore, gains from upward trends in the US dollar, the energy complex and other commodity markets have had a positive impact.
“There is an uplift in the CTA industry’s mood driven by improvements in performance over three consecutive months. No doubt, everyone is hoping for this positive run to continue through the year’s second quarter. Looking at the SG Trend Indicator, it will be interesting to observe how trends in equity indices continue to impact performance,” says Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services.