CTAs gave back some of August’s gains in September, closing the month down 3.21%, according to data from Societe Generale (SG).
The SG CTA Index is still up 8.58% for the year, however.
Trend followers were hit the most in September with the SG Trend Index down 5.27%, whilst short-term CTAs limited losses to 1.27%. Both indices remain in positive territory for the year though, up 13.64% and 1.82%, respectively.
The CTA Index’s quantitative macro constituents proved their differences in September, contributing positive performance for CTAs against trend followers.
Attribution data from the SG Trend Indicator showed that trend followers struggled in all sectors, with losses in commodities, fixed income and equity indices. Losses were from a combination of pull-backs in trends and choppiness in other markets with no clear direction.
Meanwhile, SG notes that several markets did still contribute positive performance. In a release announcing the data for September, the bank notes that the strongest performance came from CTAs trading the euro versus the US dollar, which continued downwards and resulted in gains of 0.39% at the portfolio level. The bank observes that this downward trend has now been in position for over 500 days, contributing 2.39% year-to-date.
“Despite the slight dip in September, CTA performance remains positive and on track for a very strong year. It will be interesting to observe if CTAs can continue to generate positive returns, and the different positioning of trend followers vs other non-trend strategies,” says Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services.