Tag: Ctas

Ctas

CTAs Still in Negative Territory for the Year

Although CTA performance improved relative to the previous month, all Societe Generale (SG) Managed Futures indices fell just short of breaking through into positive territory at the end of April 2017.

Trend-following had another challenging month in April. The SG Trend Index was down -1.03%, and with 80% of constituent CTA trend strategies contributing negative performance, it underperformed the other CTA indices.

It was a mixed result for the broader SG CTA Index, with eight out of the 20 constituent strategies contributing positive performance, and the index remains flat for year.

CTAs Challenged by Divergent Trends

Managed futures traders lost -0.44% in March, according to the Barclay CTA Index, which is compiled by BarclayHedge. Year to date, the Index is currently down -0.75%.
Due to divergent trends, four of Barclay’s CTA indices recorded gains in March, while four had losses.
The Currency Traders Index was up 0.65%, Agricultural Traders gained 0.58%, Financial/Metals Traders were up 0.37%, and Discretionary Traders added 0.16%.
In the loss column, Diversified Traders were down -1.15%, and Systematic Traders gave up -0.68%.

CTA Performance: Decline or Dip?

Galen Stops looks at why CTA strategies struggled in 2016, examines why there is enthusiasm from these managers bubbling up for 2017 and looks at the trends that are shaping the managed futures industry.

2016 wasn’t exactly a vintage year for CTAs. The SocGen Prime Services SG CTA Index ended the year in negative territory for the first time since 2012, showing returns of -2.89%. Likewise, the BarclayHedge CTA Index was -1.14% for the year. One explanation for why these firms struggled was the continued low interest rate environment, which has kept bond prices low and helped drive up the stock market.

Hedge Funds, CTAs Up in February

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.

CTAs Post Strong February Performance

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.

Positive December Can’t Save CTA 2016 Results

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.

CTAs Continue to Struggle in Tough Environment

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.

CTAs Report Negative Performance in August

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%.

CTA Performance Solid Following UK Referendum Result

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 […]