The challenging conditions experienced during April, particularly the last week of the month, saw all of the managed futures indices calculated by Societe Generale Prime Services post negative performance, ending a strong run of performance enjoyed so far during 2015.
Despite the negative returns over the month, all Newedge CTA indices remain positive for the year-to-date 2015. The Newedge Trend Index continues to lead performance up 3.32 per cent YTD, after returning -3.91 per cent in April.
The Newedge Short Term Traders Index was the least affected by conditions in April, declining 2.11 per cent, keeping YTD performance at +0.54 per cent. The Newedge CTA Index posted -3.18 per cent, maintaining +2.37 per cent for YTD.
Performance attribution data from the Newedge Trend Indicator shows that positive returns in the equity sector helped trend followers, contributing +0.59 per cent in April. The currency, commodity and bond sectors were more challenging, contributing -2.90 per cent, -2.23 per cent, -1.81 per cent respectively.
For the year to date the bond, equity and currency sectors remain the main drivers of performance contributing +3.65 per cent, +2.50 per cent and +1.49 per cent respectively.
James Skeggs, Global Head of Advisory Group at Societe Generale Prime Services, says: “CTAs enjoyed a strong first quarter of the year but there is no hiding the fact that April was a challenging month for many CTA strategies. Market fluctuations in currencies, commodities, and bonds were largely responsible for puncturing returns during the month. It will be interesting to see how CTAs bounce back in the remainder of the second quarter and beyond.”
