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CTAs post positive returns in eight out of nine last quarters


Societe Generale Prime Services reports that June was a strong month for most CTA strategies, with the SG CTA Index posting the largest monthly gain since November 2014, and 90 per cent of the constituent programs contributing positive returns. 

All CTA indices have finished positively in the month, and complete the first half of the year in positive territory, led by short-term strategies which have returned +5.80 per cent year to date.
 
The firm writes that performance figures announced last week showed that CTAs weathered Britain’s EU referendum result well, despite mid-month market uncertainty, having benefited from diversification across asset classes and positioning.
 
Attribution data from the SG Trend Indicator highlights gains in the bond (+4.59 per cent), commodities (+1.13 per cent), and currency (ex GBPUSD +0.95 per cent) sectors. 
 
James Skeggs, Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “CTAs have, so far, managed to weather the Brexit storm by benefiting from diversification across asset classes and positioning. The strong returns seen in June were the result of trends in bond, commodity, and currency markets. In the current environment there is understandably a great deal of investor interest in these strategies which have posted positive returns in eight of the last nine quarters.”

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