Following difficult conditions for CTAs for most of this year, October has seen significant improvement as all of Societe Generale’s CTA indices returned positive performance. Trend following strategies performed the best as the SG Trend Index was up 5.55 per cent for the month.
October was the strongest month since June 2016 for both the SG Trend and CTA Indices, and since February 2016 for the Short-Term Traders Index. As a result, year-to-date performance for the CTA, CTA Mutual, and the Trend Index moved back into positive territory. However, despite the uptick in performance for all strategies in October, the Short-Term Traders Index and Trend Indicator remain negative for the year.
The performance attribution data from the SG Trend Indicator shows the Trend-following performance was driven by Equities (+2.29 per cent) and Commodities (+1.34 per cent). Global equity indices continued to march upward across the board and strong performance in the Commodities sector was driven by the energy complex and some of the softs. Currencies had a more difficult month as it was the only asset class to return negative performance in October (-1.09 per cent).
Alex Hill, Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “After a challenging September, October was a very strong month for CTA performance, particularly trend-following strategies as many of the long-term trends in equities continued to extend, and the energy complex recovered. This performance takes the CTA Indices into positive territory as we head towards the end of the year having fully recovered from the challenges seen in the second quarter.”
