Articles tagged by Societe Generale
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%.
Commodity trading advisors (CTAs) endured another difficult month in September, according to data from Societe Generale (SG) Prime Services.
Its flagship SG CTA Index ended the month down 1.2% and overall in Q3 it entered negative territory for the first full quarter since Q2, 2015.
All of SG's managed futures indices had negative performance in September, with the SG Trend Index down -1.93%.
The SG CTA Index continues to lead performance year to date however, and is still in the black at 0.95%, followed by the SG Short Term Traders Index up 0.59%.
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.
The US Commodity Futures Trading Commission (CFTC) has fined Société Générale $450,000 for failures in the reporting of certain FX transactions.
The CFTC says that the French bank failed to properly report certain NDF transactions to a swap data repository (SDR), and failed to report to an SDR a large number of FX swap, FX forward, and NDF transactions in a timely manner, in violation of the Commodity Exchange Act (CEA) and CFTC Regulations.
herefore, the CFTC announced an order today requiring Société Générale to pay a $450,000 civil monetary penalty and to cease and desist from committing further violations of the CEA and CFTC Regulations.
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.
Societe Generale (SocGen) has launched a new Web app that uses FX options to monitor the pricing of risk events, such as elections, central bank meetings or economic releases.
The app, the SG FX Event Tracker (SG FX-ET), computes the overnight forward volatility that the FX options market expects for any trading day up to one year ahead, linked to the bank’s internal data and the weights that its market makers attach to risk events.
The charting module is designed so that users can dynamically compare the relative pricing of an event according to different currencies and can directly compare the pricing of different events.
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.
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.
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.
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 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.
Societe Generale Corporate & Investment Banking (SG CIB) has announced a partnership with BestX, an independent transaction cost analysis (TCA) provider for algo FX spot execution.
The partnership with BestX will enable SG CIB clients to assess the costs and execution performance of their FX transactions through an analytical framework, the bank says. In addition, clients will be able access to a unique set of analytics, which will measure many aspects of execution performance, including spread and impact costs and signalling risk.
The Societe Generale CTA Index posted a slightly positive return of 0.08% in April as market conditions improved but remained uncertain.
Trend followers slightly outperformed other strategies, ending up 0.41%, and short-term strategies also delivered positive performance as the Short-Term Traders Index was up 0.20%.
According to the SG Trend Indicator, the performance of trend followers was driven by the energy complex, bonds, currencies, and equity indices.
Whilst the upward trend in energy markets continued and contributed 1.37% to the portfolio, the US bond markets also continued their downward trend. The US dollar strengthened against the existing downward trend causing losses in many currency markets.
The Commodity Futures Trading Commission (CFTC) has fined Societe Generale (SocGen) $475 million, and the US Department of Justice (DOJ) another $275 million, for attempted manipulation of and false reporting in connection with the London Interbank Offered Rate (LIBOR) and Euro Interbank Offered Rate (Euribor).
More specifically, the CFTC accused the French bank of attempted manipulation of and false reporting in connection with the LIBOR for US Dollar, Yen and Euro, and the Euribor, certain instances of manipulation of Yen LIBOR, and aiding and abetting traders at another bank in their attempts to manipulate Euribor.
This misconduct apparently spanned more than six years, from 2006 through mid-2012.
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.
Following a marginal uptick in performance in June, CTAs faced headwinds again as all the Societe Generale (SG) indices posted negative returns in July.
Although the performance was up in the first half of the month, conditions became challenging in the second half. The SG CTA Index was up 1.44% and the SG Trend Index 2.24% mid-month, however by the end performance was down -0.71% and -0.81% respectively.
Performance was dispersed as five out of 20 constituent managers in the CTA index posted marginally positive returns. In particular, it was a disappointing end of July for trend followers despite a good start to the month, due to losses in bonds, currencies, and commodities at the end.
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.
Societe Generale (SG) plans to deploy Duco’s enterprise software as a service (SaaS) platform across its business as one of its primary reconciliation and data control systems.
SG will use Duco’s platform to automate key reconciliation processes across all business areas, dramatically improving efficiency compared to legacy systems and spreadsheet-based processes.
Estelle Letribot, global head of reconciliation post-trade in SG global banking and investor solutions, says: “Innovation and digital transformation are core to Societe Generale’s strategy, both internally and for our clients. By working with Duco, we have an opportunity to reinvent our operations, introducing agility, automation and machine learning in a function that has traditionally proved very expensive and time consuming.”
All of Societe Generale’s (SG) CTA indices were down in October and are now in negative territory year-to-date.
The SG CTA Index was down 2.79% and the SG Trend Index was down 4.29%. The short-term and quant macro strategies fared considerably better as the SG STTI Index was down marginally by 0.40%.
Continuing from September's dip, losses were driven primarily by trend-following strategies, with losses in commodities, equities and bonds.
Commodities were a particular drag on results, with the upwards trend reversing and the oil market losing 1.58%. A number of long equity market positions also reverted, while bond markets rallied against the developing downwards trend, leading to losses in many of these markets.
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.
Following an initial positive run in the first few days of the year, all CTAs in the Societe Generale (SG) Indices were in negative territory by the end of January. The SG Trend Index was down 3.25% and the SG Short-Term Traders Index was down 1.71%. The SG CTA Index returned -1.99% despite being helped slightly by three non-trend following managers' positive performances during the month.The SG Trend Indicator attributed losses to equity markets and currencies. They were positioned short in risk assets, hence equity markets' reversal and gains in one of their best Januarys ever, contributed to losses of 3.91% at the portfolio level.
Following recent news of planned staff cuts at Societe Generale Corporate & Investment Banking (SG CIB), Profit & Loss understands that at least three senior FX staff have left the French bank. Tom Gillie, managing director, global head of FX trading, and Keith Hill, global co-head of e-FX sales at SG CIB, are among the early cuts to the FX team. Richard Ware, a senior sales/trader has also reportedly left. Sources say additional cuts were made to the FX team, but roles and numbers could not be determined by time of going to press. These sources add that the US team will also be impacted, but that the cuts have not yet been announced. SG declines to comment.
The SG CTA Index was up by 0.42%, whilst the SG Trend Index was up by 0.81%. Short term strategies struggled and underperformed other strategies, with the SG STTI down by 1.19% for the month. The SG Trend Indicator attributed February's positive results to gains in currencies and a selection of commodity markets, as well as trends in interest rate markets. Long positions in bond markets reverted slightly, leading to small losses, whilst positions in equity markets began to adapt to the renewed upward trend. "We've seen an uptick of performance in February, and we maintain the benefits CTA strategies can have in diversified portfolios. It will be interesting to observe if CTAs can continue this upward trend as we look towards March and the rest of the year," says Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services.