Managed futures traders gained 0.71% in February according to the Barclay CTA Index, which is compiled monthly by BarclayHedge. Year to date, the Index has decreased 0.02, however in February, Five of the eight CTA indices had gains. Meanwhile, hedge funds were up 0.99% in February according to the Barclay Hedge Fund Index, which is now up 2.38% after the first two months of 2017, its best start since 2013 when it had gained 2.77% by the end of February.
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.
Data from Societe Generale Prime Services (SGPS) showed an uptick in CTA performance in December 2016, although its flagship index closed the year in negative territory for the first time since 2012.
All SG CTA indices posted positive returns in the last month of 2016, at the end of an otherwise difficult quarter. The highest performing index last month was the SG Trend Indicator, which was up 4.07% in December.
However, the flagship SG CTA Index closed the year slightly negative -2.86% and the SG Trend Index was at -6.19% for the year.
Data from Societe Generale Prime Services reveals that the majority of its CTA indices show that these firms continued to post negative returns during November.
The SG CTA Index posted a negative return of -1.83% and is now down overall -3.38% YTD. The SG Trend Index fared slightly better, returning -1.25% in November, but remains the worst performing index for the year at -6.79% YTD.
The SG Short Term Traders Index (STTI) was the only index to post positive performance in November, returning 0.43% for the month with six out of the 10 constituent CTAs contributing positive returns.
New data from Societe Generale Prime Services shows that CTA performance was down across the board in August for its SG CTA indices.
All of the SG CTA indices were in the red last month, with 19 out of the 20 CTA Index constituent strategies ending August negatively.
The SG Short-Term Traders Index produced the lowest returns in August at – 3.41%, despite remaining the strongest performing of the managed futures indices year-to-date. The flagship CTA index also remains in solidly positive territory year-to-date at 2.19%.
Societe Generale Prime Services’ CTA Indices show positive performance for commodity trading advisors in the two full days of trading after the UK referendum results – Friday 24 June and Monday 27 June. In the immediate aftermath of the result on Friday, when falling markets were causing concern for many investors, 90% of the programs […]