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CTAs continue strong performance into July

Societe Generale Prime Services reports that CTAs continued their good performance from June with all CTA indices posting positive returns in July. 

The SG Trend index, measuring the performance of the largest ten trend-following based CTAs, was the best performing index for July but year to date still remains behind the CTA Index, which is a broader measure of the largest 20 CTAs, with a year to date return of 5.53 per cent.
Short term traders, despite posting the lowest monthly returns amongst the indices in July, are still leading performance year to date, with a year to date return of 6.19 per cent, having turned out especially strong results in the first two months of the year and less negative returns than the others in the middle period of H1.
The main contributors to Trend Following performance as shown by the SG Trend Indicator were the equity sector (+0.80 per cent) and bonds (+0.22 per cent).
Commodities were the worst performing sector (-0.65 per cent) despite mixed returns, with losses in crude, heating oil and soybeans as markets turned around. Precious metals performed well, while currency and interest rate performance was mixed.


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