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.
In an interesting reversal, commodities continued to lead performance year-to-date, having been a drag in recent years. In particular, the continued downwards trends in soy beans, and precious metals such as gold, and upwards trends in crude oil produced positive performance.
“It is very encouraging to see the improvement in CTA performance, particularly the trend following strategies as they have had a challenging year. It will be interesting if the performance continues to improve as market trends develop and move independently, or if conditions reverse,” says Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services.