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.

“Clearly, trend-followers have had a difficult month and were particularly hit in the second half of May. Trend models have been challenged by a combination of sharp moves in the global markets, choppy trading and political events. On the other hand, short-term CTA strategies fared slightly better. We will observe whether these dynamics continue in the coming months as market conditions change,” says Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services.

galen@profit-loss.com
@Galen_Stops
@Profit_and_Loss

Galen Stops

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