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CTA strategies finish first quarter in positive territory despite March dip

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After a strong start to the year in January and February, managed futures strategies performance declined in March, with all indices producing negative results for the month.

 Nevertheless CTAs remain firmly in positive territory for the year so far, with the SG CTA Index ending the first quarter of the year at 4.05 per cent.
 
The SG Short Term Traders Index fared the best, down only -1.18 per cent in March, and now leads returns year to date, up 5.47 per cent.
 
The SG Trend Indicator posted -3.52 per cent in March, closely mirroring the SG Trend Index at -2.91 per cent. The Trend Indicator attributed losses in four out of five sectors, primarily: Equity indices, Commodities, and Bonds (-2.10 per cent, -1.59 per cent, and -0.84 per cent respectively). Positions in Currencies, however, yielded positive returns contributing 1.29 per cent to the overall portfolio. 
 
James Skeggs (pictured), Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “This has been a strong first quarter for CTAs, despite more challenging conditions in March compared to the first two months of the year. Managed futures programs have been able to take advantage of movements and trends in a variety of sectors and markets.
 
“Short-term traders have been the strongest performers, as they have been best able to capitalise on market volatility. The diversity of short-term trading strategies is particularly evident in March, with over half of the index constituents ending the month in positive territory despite the index being down.
 
“It will be interesting to observe how the current environment plays out, and how managed futures funds will fare heading into the second quarter of the year.”
 

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