CTA performance on the whole was flat in May, remaining flat for the year 2017, according to the latest performance figures for the SG CTA indices released by Societe Generale Prime Services.
The Short Term Traders Index fared slightly better and posted a positive return +0.29 per cent, but all SG Managed Futures indices remain down year to date.
Trend-following had mixed fortunes in May, closing a challenging month down -0.35 per cent, despite positive returns from four of the ten constituents in the SG Trend Index.
The SG Trend Indicator illustrated that there were return opportunities for trend followers, up 3.42 per cent, with positive return contributions from 4 out of the 5 sectors. Long trends in equity indices continued to drive trend following returns, contributing 2.00 per cent in May, and now up 8.60 per cent YTD.
Similarly long positions in bond markets contributed +1.32 per cent, reclaiming losses from earlier in the year; and commodity markets contributed a second consecutive positive month’s performance, primarily from short trends in the energy complex. Finally there were small gains from the currency sector, in particular short USD positions against CHF and EUR.
Tom Wrobel (pictured), Director of Alternative Investments Consulting at Societe Generale Prime Services, says: “Although performance of CTA strategies remains mixed this month, we observe the development of medium- and long-term duration trends, with 25 per cent of market trends in position between 51-100 days, and 22 per cent of market trend duration greater than 200 days. Equity markets have continued to contribute to positive performance this year, but we are pleased to see opportunities from a variety of other sectors, namely bonds, commodities, and currencies.”
