Three of the four managed futures indices calculated by Societe Generale Prime Services recovered their positive performance in March after February’s retreat, with the Newedge CTA Index enjoying its second strongest quarter since 2008 – up 5.79 per cent.
The Newedge Trend Index enjoyed a strong March returning +2.71 per cent and +7.65 per cent since the beginning of the year. The Short Term Traders Index faced a more challenging environment in the second half of March, ending the month down 0.87 per cent. However, its performance for the year remains positive at +2.38 per cent.
Performance attribution data from the Newedge Trend Indicator shows positive returns in all asset sectors drove strong returns for trend followers in March. Currencies, Commodities and Bonds produced the highest returns last month, contributing +1.63 per cent, +1.59 per cent and +1.15 per cent respectively.
For the year to date bonds, currencies and equities are the main drivers of performance contributing +5.46 per cent, +4.39 per cent and +1.91 per cent respectively.
James Skeggs, Global Head of Advisory Group at Societe Generale Prime Services, says: “The data shows that CTAs have enjoyed a very strong start to the year, up 5.79 per cent over the first quarter. The performance has been driven by exposures to a wide range of assets, from Bonds to Currencies and Equities – this has not been a recovery borne out of a single asset class and serves to highlight the importance of diversity in the sector.”
