Articles tagged by Ctas
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 ...
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%.
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.
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.
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.
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.
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.
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%.
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.
Managed futures traders gained 0.16% in April, according to the Barclay CTA Index compiled by BarclayHedge. Year-to-date, however, the Index remains down -0.66%.
Five of Barclay’s CTA indices had gains in April, while three had losses. Currency traders were up 0.40%, financial/metals traders gained 0.33%, systematic traders added 0.20%, and diversified traders eked out a 0.03% gain. The agricultural traders Index lost 0.38% in April, and discretionary traders were down 0.11%.
The Barclay BTOP50 Index, which monitors the largest investable trading advisor programmes, lost -0.57% in April and is down -2.17% year to date.
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.
Managed futures traders lost -0.98% in June, according to the Barclay CTA Index compiled by BarclayHedge.
This was the largest monthly decline so far this year as the index is down -1.65% through the first two quarters of 2017.
The BTOP50 Index, which tracks the 50 largest investable CTAs, also fell, registering a loss of -2.60% in June, and is down -4.77% for the year as well.
“The first half of 2017 has been difficult for the CTA industry,” says Sol Waksman, founder and president of BarclayHedge. “The combination of low volatility and sharp trend reversals has helped to suppress returns for managed futures.”
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?
Managed futures traders gained 0.64% in July, according to the Barclay CTA Index compiled by BarclayHedge. The index is down 1.04% for the year.
The BTOP50 Index, which tracks 20 of the largest CTAs, showed a modest gain of 0.6% and is down 4.2% through the end of July.
“Managed futures traders were able to eke out gains last month in spite of the cross currents in commodity markets,” says Sol Waksman, founder and president of BarclayHedge. “Profits resulting from US dollar weakness against the euro and a new record high in the S&P 500 were enough to overcome losses from trend reversals in energy and agricultural products.”
Managed futures traders showed gains of 1.87% in August, according to a flash estimate of the BarclayHedge BTOP50. For the year-to-date period, the index is down 2.39%.
“Managed futures had its best month of the year and the best returns since June 2016 in August,” according to Sol Waksman, founder and president of BarclayHedge. “It’s too early to say that the industry has turned a corner, but the signs are positive.”
Systematic traders led the way with a gain of 2.63%; 13 of the 14 systematic traders in the BTOP50 were profitable in August. Discretionary traders were essentially flat for the month, losing 0.04%. Two of the three discretionary traders had small losses.
Managed futures traders gained 0.54% in August, according to the Barclay CTA Index compiled by BarclayHedge.
For the year, the index is still down 0.51%. “Geopolitical uncertainty had investors scurrying for the safety of sovereign bonds,” says Sol Waksman, founder and president of BarclayHedge.
“As Harvey advanced, Gulf Coast refineries sought safety. Refiners shut down and spot gasoline shortages propelled gasoline futures 28% higher in the closing days of the month.”
Five of the six sub-indices calculated by BarclayHedge recorded gains in August. Diversified (0.94%), systematic (+0.74%), discretionary (+0.28%), financial/metals (+0.17%) and currency (+0.02%) traders all gained. Agricultural traders were the only losing sector (-0.56%) of the month.
Portfolios that include managed futures funds perform better and reduce more risk than those without them, according to research jointly published by the Alternative Investment Management Association (AIMA) and Societe Generale.
The paper, titled ‘Riding the Wave’, analysed the risk and return profiles of investment portfolios including and excluding managed futures funds from 2000-2016.
For example, it showed the performance of a traditional asset mix of 60% bonds and 40% equities is enhanced with the addition of CTA strategies, which may increase the return and risk-adjusted returns (by lowering the volatility), as well as considerably lowering and shortening drawdowns.
Managed futures traders slipped after two months of gains, losing 0.72% in September, according to the flash estimate for the Barclay CTA Index, which is compiled by BarclayHedge.
“The Fed’s mid-month confirmation that it was unwinding QE precipitated trend reversals in bond yields, the US Dollar Index, and gold,” says Sol Waksman, founder and president of BarclayHedge. “In spite of the ongoing rally in global equities, there were several treacherous crosscurrents in motion during September and successful navigation was difficult.”
In a new survey conducted by BarclayHedge, two thirds of the hedge fund respondents said that are not planning to invest in cryptocurrencies, despite the current hype around these digital assets.
The survey of 119 hedge fund managers and CTAs was conducted between September 11 and September 29, 2017.
Managers were asked if they currently invest in or plan to invest in cryptocurrencies. In total, 68% answered “No,” while 24% responded that they either currently invest or plan to invest within the next six months. A further 8% replied, “We’re studying the situation.”
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, shows a 1.75% gain in October. Year to date, the index is up 0.15%.
Diversified traders led for the month with a gain of 2.50%, followed by systematic traders at 2.46% and financial/metals traders up 2.02%. Currency traders notched a modest gain of 0.25% while discretionary traders fell 0.06% and agricultural slid by 0.31%.
“Global equity markets provided the biggest boost to returns as the S&P 500 rally moved into its 12th consecutive month and the Nikkei 225 rose to 20-year highs,” says Sol Waksman, founder and president of BarclayHedge.
Following the improvement in performance in October, the Societe Generale Prime Services CTA Index continued its positive run as it was up +0.30% in November, increasing gains for the year to 1.77%.
Trend followers also made further gains, as the SG Trend Index posted the strongest performance in November, up +0.59% and now +0.75% for the year.
However, short-term strategies continued to face challenging market conditions and ended on average, down -1.07%, pushing losses this year to -6.23%. Performance was mixed across all CTA strategies, as approximately half of trend following, and non-trend CTA managers generated positive returns in November; and despite the dip in index performance, three out of the 10 short term strategies ended the month positive.
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.06% gain in November. Year-to-date, the index is up 0.25%.
“Choppy waters made for tough sailing in November,” says Sol Waksman, founder and president of BarclayHedge. “Although ongoing rallies in US and Japanese equities provided profitable trading for momentum strategies, trend reversals in currencies, precious metals and agriculturals weighed heavily on fund performance.”
Financial/metals traders were able to gain 0.1% in November. Most other CTA sectors had a very small increase or a loss for the month. The Systematic Traders Index rose 0.05% and discretionary traders added 0.03%.
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.54% gain in December. The CTA Index ended 2017 with a 0.69% gain.
“December’s 1.11% rise in the S&P 500 Index extended its unprecedented winning streak to 14 consecutive months and helped push trend traders’ returns a bit more into the black for 2017,” says Sol Waksman, founder and president of BarclayHedge.
He adds: “Continuing uptrends in energy and base metals were the main profit contributors from the commodity sector.”
Diversified traders gained 0.93% in December, systematic traders were up 0.40%, discretionary traders added 0.36%, and agricultural traders rose 0.23%.
The Societe Generale Prime Services CTA Index ended 2017 with gains of 2.34%, following a positive last quarter during the year.
Meanwhile, the CTA Mutual Fund Index ended 2017 up 3.32%, the first year in its four-year history it has outperformed the main CTA index. However, difficult conditions continued for the Short-Term Traders Index, as it was down 0.55% in the month, reporting losses of 6.73% for the year.
The SG Trend Indicator completed a challenging year and underperformed the Trend Index, down 14.96% for the year. Continued upward trends in equity indices resulted in small gains again of 0.61% in December, to complete the year with a contribution of 11.91% at the portfolio level.
Following a strong start to the year, February was a challenging month for CTAs, with all of the Societe Generale CTA Indices in negative territory for the month.
The Short-Term Traders Index was down -4.29% but remains positive year-to-date (YTD), up +1.19%.
Conditions were particularly difficult for trend-followers which were down -8.96%, the worst monthly return since 2003 and the third worst since the inception in 2000.
The upward trends in equity indices experienced steep reversals, leading to losses of -5.47% in February and posting negative contributions YTD. The correction of equity markets may have led to position changes from long to short as markets became volatile.