CTAs post third negative month in a row, says Societe Generale Prime Services

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After a strong start to 2016, CTAs have now completed their third consecutive month of negative performance. All five daily indices that Societe Generale Prime Services calculates were down in May. 

The flagship SG CTA Index, that measures a broad range of managed futures strategies, has now also dipped just below zero on year to date performance for the first time this year.
Short term trading strategies continue to be the best performers, with the SG Short Term Traders Index dipping to -0.93 per cent in May, but still comfortably positive for the year so far, at 4.18 per cent.
Attribution data from the SG Trend Indicator showed that the currency sector was the main contributor to negative portfolio returns, detracting -5.33 per cent, due to predominantly short US Dollar positions making losses as the US Dollar rallied against most major currencies.
Other sectors were more varied, with bonds and equity indices contributing positive returns, compared to negative returns from commodities and interest rates. Precious metals were a particularly difficult sub-sector, as long gold and silver positions gave back their April gains, contributing a combined -1.48 per cent.

James Skeggs (pictured), Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “Our indices show that the continued absence of consistent market trends is making it hard for managed futures strategies to consolidate gains – especially amongst trend followers.
“The high correlation of our Trend Indicator to the Trend Index gives a good idea of the markets that have been challenging for these strategies, and returns from currencies appear to have been particularly volatile.
“Some market watchers are starting to call a rally in commodity markets, and with the price of crude oil now bouncing back from its low point in January, we have seen the beginning of an energy trend with CTA strategies currently well positioned to extract returns from these markets in coming months.”