February was a strong month for managed futures strategies, with all three Societe Generale CTA indices producing performance in excess of 2%.
The SG CTA Index was up 2.27% for the month, the CTA Mutual Fund Index was up 2.19% and the SG Trend Index was up 2.88%.
Short-term traders, on the other hand, continued to struggle, with negative returns of -1.95%, putting them at -6.03 for the start of 2017.
The Trend Indicator attribution data showed that equity indices, contributing 2.3%, were the main driver of positive returns for trend followers in February with gains from long positions in all markets.
The commodity sector was positive for the first month since June 2016, contributing 0.11%. The bond sector was the only negative return, contributing – 0.60%, as bond markets rebounded slightly against short positions established in 2016.
“The continuing performance across all equity indices this month has been a strong driver for CTA performance, while moves in some of the commodity and currency markets have also helped. Bond markets are at the moment proving more challenging, having been a significant performance contributor for most of 2016,” says Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services.
He adds: “While the SG Trend Indicator is now long all equity indices, the wide dispersion of positions within other asset classes should mean that CTAs continue to offer diversification benefits to traditional portfolios.”