All Societe Generale CTA indices posted positive performance in January. In fact, this has been the best start to a year since 2016, with 80 per cent of the CTA index constituents in positive territory. The strong performance has been led by trend followers.
The Trend Index was up 5.85 per cent, the best month return for the index since November 2014. Short term strategies also made large gains; January was recorded as the best month ever for the Short-Term Traders Index, which was up 5.77 per cent.
Trend followers continued to ride on the upward trends in equities in January, and these markets contributed +3.50 per cent at the portfolio level. They also benefited from the downward trends in bonds, which contributed +2.63 per cent. Commodity markets provided mixed opportunities for momentum strategies; long positions in the energy complex were rewarded, however this was offset by a lack of clear trends in precious metals and agricultural markets. Looking at the currency sector, a new short Dollar trend began to emerge, with gains from Euro and British Pound long positions.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “CTAs had an excellent start to 2018 with positive performance reported for all indices in January, and trend followers taking the lead. With volatility increasing and uncertainty about the direction of global stock markets unfolding at the end of the month, many CTAs gave back some of their earlier gains but still finished strongly positive. This uncertainly has hit many CTA strategies at the beginning of February, and it will be interesting to see how performance unfolds for trend-followers and non-trend strategies in the coming months.”
