November Brings More Losses for CTAs

Following a difficult October, CTAs continued to face challenges in November as the SG CTA Index was down 1.09% and the SG Trend Index was down 1.75%. Year-to-date, the SG CTA Index is down 7.18%.

However, the SG Trend Indicator outperformed the Trend Index as it was up 2.51%. This was driven by gains in commodity markets especially from short positions in the energy sector.

Apart from the uplift in commodities, trend following strategies struggled in other sectors with losses in currencies and equities. There were strong reversals against established trends in particular in Australian and New Zealand dollar. Furthermore, trends in bond markets continued to be mixed, as the new upward momentum brought the recent downward trend to an end.

“CTAs continued to face a difficult period in November as the indices were in negative territory again. Interestingly, there were gains in commodity markets which had been a drag on results in October. Overall, it has been a challenging year for CTAs thus far and it will be interesting to observe how 2018 ends,” says Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services.

 

Indices

Nov-18

YTD

SG CTA Index

-1.09%

-7.18%

SG CTAM Index

-1.41%

-7.42%

SG Trend Index

-1.75%

-8.97%

SG STTI

-1.56%

-1.52%

SG Trend Indicator

+2.51%

-14.68%

 

 

Galen Stops

Share This

Share on facebook
Facebook
Share on google
Google+
Share on twitter
Twitter
Share on linkedin
LinkedIn
Share on reddit
Reddit

Related Posts in