After a strong September, CTA strategies posted lower returns across the board in October 2015, with all managed futures indices calculated by Societe Generale Prime Services in negative territory.
The Newedge CTA index was down 1.15 per cent in October (from 1.17 per cent in September) bringing year-to-date performance to -1.18 per cent.
Short Term Trader returns were mixed, resulting in slightly negative index performance of -0.31 per cent, but representing a large return dispersion between individual managers.
Trend followers experienced the difficult market conditions in October most strongly, with the Newedge Trend index ending down 2.45 per cent for October, but leading with the strongest year-to-date returns compared to the other indices, down slightly -0.97 per cent.
Attribution data from the Newedge Trend Indicator shows all sectors contributed to losses, in particular previous equity indices and currency gains were eroded, returning -2.08 per cent and -2.06 per cent respectively.
However, all sectors except commodities remain in positive territory for 2015 year-to-date, led by currencies and equity indices at 0.73 per cent and 0.69 per cent respectively.
James Skeggs (pictured), Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “October was challenging for all CTA strategies, and comes after a volatile few months, with the CTA Index dipping in and out of positive territory since June.
“The difficult market conditions, with fewer directional trends, have had a negative impact on CTA returns and it remains to be seen whether CTA strategies will manage to see the year out in the black.”
