Tag: trend following

trend following

Trend Following Drives Positive CTA Performance in August

Following a challenging period in July, CTA performance improved in August as all the indices posted positive performance.

The strong month was led by the uptick in the performance of trend followers, as the Societe Generale (SG) Trend Index was up +3.92%, but all CTA strategies benefitted.

The SG CTA Index was up 2.64% and the SG Short Term Traders Index was up 1.07%.

The SG Trend Indicator was up 4.14% and the key sectors which contributed were commodities, currencies, and equities.

CTAs: All Grown Up

Susan Roberts, product specialist and director of investor relations at Campbell & Company, talks to Galen Stops about how the CTA industry has matured, what purpose these funds are really supposed to fulfill within a portfolio and why performance might be set for an uptick.

Galen Stops: In the research paper, Prospects for CTAs in a Rising Rate Environment: A Refresh, your analysis finds that CTA performance has not historically been interest rate regime dependent. Is this pretty much what you expected the data to tell you when you began working on the paper?

And Finally…

The memories of last year’s emotionally charged bull run in bitcoin are fading fast, almost as fast as the optimism earlier this year that the cryptocurrency would regain the highs of 2017. At less than half the value at which it entered the year I am hearing a few more “why the time to buy bitcoin is now” stories emerge, but this bothers me. Looking at a market I like to weigh up the rationale for buying and selling – and bitcoin at the moment seems heavily weighted one way.

CTAs Down in May, Despite Currency Gains

The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.24% loss in May, although currency traders gained 0.88% last month. Year-to-date, the Barclay CTA Index is down 1.76%.

“Large systematic traders were the hardest hit by trend reversals in fixed income, energy, sugar and cocoa prices,” says Sol Waksman, founder and president of BarclayHedge.

The new MPI Barclay Elite Systematic Traders Index (MBEST) lost 1.85% in May, diversified traders were down 0.64%, financials and metals traders lost 0.44%, and systematic traders gave up 0.44%.

Trend Followers Drive CTA Losses in May

Following a marginal uptick in April, the SG CTA Index moved into negative territory in May, down 2.41% for the month, despite being up mid-month.

Trend followers were the main drivers of losses in the second half of the month, and were down, to -2.72%. Short-term CTA strategies handled the changing market conditions relatively well and ended May up, +0.39%.

The SG Trend Indicator had a difficult period and was down by 3.50%, leading to a reading of 13.30% for the first five months of this year.

Following a recovery in April, equity indices contributed to negative performance, and the commodities and currencies sectors took a dip as well. Meanwhile, the bond market provided some relief as it was the only sector to post a positive contribution, up 0.09%, just holding on to gains despite a mid-month reversal.

Insch Kintore Launched as Jersey Domiciled Fund

Jersey-based Insch Capital Management has launched its Insch Kintore strategy as a Jersey Private Fund.
Since inception, the form says the strategy has earned a total net return (net of 1.5% management and 15% performance fees) of +49.21%, gaining 12.52% in 2015, 33.39% in 2016 and 21.16% in 2017. Rolling 12 month returns (26 observations) have averaged +20.44%, the firm adds.
The strategy is entirely quantitative in nature and agnostic in terms of market direction and trades gold (as a currency) versus G7 currencies.

And Another Thing…

Earlier this year I wrote about my mystification over people bemoaning the lack of opportunity in FX markets, claiming there were indeed plenty of chances to make (and lose!) money, because the rather fragile geo-political situation and multi-speed economic performance around the world is providing opportunities.
In FX terms market conditions seem to have changed for the better, at least for some participants. We could be witnessing a revival for the trader, and if that is the case I, for one, will be very happy.

And Another Thing…

Traders do like to moan – I know I did – maybe because it’s therapeutic, maybe because it is (occasionally) true that they are unlucky. More often than not though, it’s because they’re wrong. That said, looking at those indices that track global macro, and listening to traders around the world, it does genuinely appear to be a struggle to make money in FX and rates at the moment. But why is that? We have events – we even have a trend!

In the FICC of it – The Problem With CTAs Right Now….

CTAs have, generally, not been doing well in 2017, judging by the major indices that track their performance. Profit & Loss deputy editor, Galen Stops, relays a conversation that he had with a portfolio manager at one alternative investment firm (with AUM of over $10bn) to illustrate why some investors are very negative about the outlook for investing in these firms right now, even beyond the immediate problem of low returns.

For a more in-depth look at some of the challenges facing CTAs and the trends that are shaping this segment of the market, see Profit & Loss’ previously published piece: CTA Performance: Decline or Dip?

CTA Performance Flat in May

Data from Societe Generale shows that CTA performance was broadly flat in May, as it has been for most of 2017.

Although the SG Trend Indicator illustrated that there were return opportunities for trend followers, up +3.42%, with positive return contributions from four out of the five sectors included in the indictor, the Trend Index was down -0.35% for the month of May.
The Short Term Traders Index fared slightly better and posted a positive return +0.29%, but all SG managed futures indices remain down year-to-date.