In a disappointing start to the year after a challenging 2016, all Societe Generale CTA indices posted negative returns in January.
The flagship SG CTA Index, SG Trend Index, and SG CTA Mutual Fund Index were all in the low negative territory, down 1.13 per cent, 1.16 per cent, and 0.87 per cent respectively.
Conditions were even more challenging for short term traders, with the SG Short Term Trader Index posting -4.07 per cent.
The SG Trend Indicator reflected the difficult conditions for trend followers, ending down 6.46 per cent. Currencies and commodities both contributed negatively, at -4.15 per cent and -2.54 per cent respectively. Small gains from positive contributions in equity indices and bonds were not enough to counterbalance the losses. Losses in the currency sector were the result of the reversal of the established US Dollar strength trend versus all individual currencies.
Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services, says: “CTAs haven’t had an easy start to 2017, and it is interesting to see that short term traders have struggled most in the current environment. The reversal of trends in the currency sector, and lack of trends in commodity markets, has proved particularly challenging, not helped by growing uncertainty around how the Trump presidency will impact on markets.”
