Fri, 06/05/2016 - 09:05
Managed futures strategies continued to decline throughout April, following the challenging market conditions that started taking effect in February, registering another month of negative returns, according to Societe Generale Prime Services.
Nevertheless the flagship SG CTA Index, that measures a broad range of managed futures strategies, remained positive so far this year at 1.82 per cent.
The SG Short Term Traders Index continued to fare the best, down only slightly in April, but still up 5.11 per cent so far this year.
The SG Trend Indicator outperformed the Trend Index, ending the month up 0.16 per cent in April. Attribution data from the Trend Indicator suggested trend-followers experienced losses in four out of five sectors: Equity indices, Commodities, Bonds, and Interest Rates. Trends in Currencies, however, yielded positive returns, contributing 1.62% to the overall portfolio.
James Skeggs (pictured), Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “Market conditions continue to be challenging for CTAs after the reversal in February, however, the currency markets provided some pronounced trends that CTAs were able to benefit from.
“The Trend Indicator showed that directional moves in the Japanese Yen and Canadian Dollar (vs. the US Dollar) in particular, presented opportunities for trend-followers, and the Currency sector has been the largest performance driver so far this year, contributing 2.68 per cent.”
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 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 Trend Indicator is a market based performance indicator designed to have a high and stable correlation to the returns of trend following strategies.
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 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.
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