CTA performance continued to improve in November
Following an improvement in performance in October, the Societe Generale CTA Index continued its positive run last months as it gained 0.30 per cent in November, increasing gains for the year to 1.77 per cent.
Trend followers also made further gains, as the SG Trend Index posted the strongest performance in November, up 0.59 per cent and now +0.75 per cent for the year.
However, short-term strategies continued to face challenging market conditions and ended on average down 1.07 per cent, pushing losses this year to -6.23 per cent. Performance was mixed across all CTA strategies, as approximately half of trend following, and non-trend CTA managers generated positive returns in November; and despite the dip in index performance, three out of the 10 short term strategies ended the month positive.
The performance attribution data from the SG Trend Indicator shows that despite the upward trend in equity markets slowing down, equity indices continued to be the main performance driver in November contributing +0.72 per cent and now up 11.30 per cent for the year. The Fixed Income and Currency sectors also provided opportunities for trend followers, and contributed 0.06 per cent and +0.55 per cent at the portfolio level. This is driven by downward moves in the US interest rate (Eurodollar) and the US bond markets.
The Commodity sector was the only loser in November, despite gains from upward trends in Energy markets, with losses from sideways movements in precious metals and livestock markets.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “The performance of CTAs has been encouraging in November following a strong October. However, short-term strategies continue to face challenges due to difficult market movements. Looking at the SG Trend Indicator, it will be interesting to observe if equity indices continue to drive performance and if trends emerge in other markets as we approach year end.”