After a strong start to the year in January, Societe Generala Prime Services’ managed futures strategies continued to deliver positive performance across the board, with all CTA indices posting gains in February,
The SG Short-Term Traders Index posted the highest monthly return of all the indices at 3.16 per cent, whilst the more broad-based SG CTA Index is the leader year-to-date, up 7.20 per cent. February’s 2.90 per cent return sets a new monthly high watermark for the CTA Index, surpassing the previous equity high set at the beginning of 2015.
Attribution data from the SG Trend Indicator, which was also up 2.56 per cent in February, shows trend following strategies benefitted from directional volatility in all sectors except Currencies. In particular, long positions in global Bonds contributed 2.29 per cent to performance in February, with the sector up 3.43 per cent year-to-date.
In contrast, the SG Trend Indicator was positioned short in all 15 major global equity indices at the end of February, contributing 0.79 per cent to performance and 1.98 per cent year-to-date. The SG Trend Indicator 12 month correlation to MSCI World is -0.40, the lowest value since October 2012.
James Skeggs (pictured), Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “CTAs continue to stand out this year, producing positive returns amidst stock market uncertainty. Short-term traders have been able to capitalise on market volatility, and trend followers have captured long and short trends in a variety of asset classes.
“There is a growing body of evidence for the diversification benefits of CTAs in 2016, with strong returns from trend and non-trend following strategies alike.”
