Currency Traders Dragged Down January CTA Performance

Following an initial positive run in the first few days of the year, all CTAs in the Societe Generale (SG) Indices were in negative territory by the end of January.

The SG Trend Index was down 3.25% and the SG Short-Term Traders Index was down 1.71%. The SG CTA Index returned -1.99% despite being helped slightly by three non-trend following managers’ positive performances during the month.

The SG Trend Indicator attributed losses to equity markets and currencies. They were positioned short in risk assets, hence equity markets’ reversal and gains in one of their best Januarys ever, contributed to losses of 3.91% at the portfolio level.

The continued lack of direction in currency markets also hurt trend follower performance, with losses of 2.53%. The long positions in bonds offered some respite as bond markets rallied and contributed 1.49%.

“CTAs continued to weather unfavourable conditions after a challenging year and interestingly, trend followers were hit by their short positions in risk assets. We will keenly observe if the reversal in equities and lack of direction in currencies continue to negatively impact their performance,” says Tom Wrobel, director of alternative investments consulting, at Societe Generale Prime Services.

 

galen@profit-loss.com
@Galen_Stops
@Profit_and_Loss

Galen Stops

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