All managed futures indices posted positive returns in the first month of the year, with Societe Generale’s headline SG CTA Index leading performance. At 4.21 per cent this is the highest monthly return for the index since 2015’s opening month. Short-term traders also made significant gains, ending up 3.73 per cent.
The newly launched SG CTA Mutual Fund index made a strong start, completing its first live month up 2.64 per cent.
The SG Trend Indicator mirrored the gains of the SG Trend Index, ending up 2.35 per cent. Performance attribution from the Trend Indicator shows trend-followers benefitted from directional moves in Equity indices, Bonds and Currencies (contributing +1.19 per cent, +1.14 per cent and +0.69 per cent respectively).
The Commodity sector had mixed performance in January. The Energy complex contributed +1.19 per cent compared to all other commodity sectors, contributing negatively, and bringing the overall sector contribution down -0.34 per cent.
James Skeggs (pictured), Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “There is currently a palpable uplift in the mood of the CTA industry. The turnaround compared to the end of last year is noticeable, and everyone will be hoping that the positive performance continues for some time yet.
"This month is a good example of the diversification benefits of CTAs, with all the SG CTA Indices posting gains amidst uncertain equity markets, oil prices and currencies.”
The SG CTA Index, which is equally weighted, calculates the daily rate of return for a group of the largest 20 CTAs that are willing to provide daily returns and are open to new investment.
The SG CTA Mutual Fund Index, which is equally weighted, calculates the daily rate of return for a group of the largest 10 CTA Mutual Funds that are willing to provide daily returns and are open to new investment.
The SG Trend Index, which is equally weighted, calculates the daily rate of return for a group of the largest 10 trend-following based CTAs that are willing to provide daily returns and are open to new investment.
The SG Short-Term Traders Index is designed to track the daily performance of a group of the largest 10 short-term, diversified CTAs that have a holding period shorter than 10 days, are willing to provide daily returns and are open to new investment. All three indices are rebalanced and reconstituted annually.
The SG Trend Indicator is a market based performance indicator designed to have a high and stable correlation to the returns of trend following strategies.
