Following a bright start to the year in January and challenging February, all CTA indices finished slightly in negative territory for March, according to the latest performance data for Societe Generale Prime Services’s SG CTA indices.
Overall, performance was mixed, with seven out of 20 CTA index constituents finishing with positive results; including some trend-followers, non-trend, and short-term strategies.
The Short-Term Traders Index was the only index to remain in positive territory for the year to date, and is now up 0.50 per cent.
The SG Trend Index outperformed the Trend Indicator in March by approximately 2.60 per cent. The Trend Indicator attributed the positive return in March to the Currency and Interest Rate sectors. Primarily short US Dollar trends gained 0.53 per cent at the portfolio level, and some short positions in interest rate markets also contributed positive returns. Other sectors didn’t take such a clear direction. Equity indices results, for example, were split positive and negative as markets remained volatile after the trend reversals in February. Commodity markets were also varied, the upwards trend in crude oil contributed to gains, as did selected positions in agricultural markets, but overall the sector finished the month down at the portfolio level.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “After a difficult February, CTA results were mixed in March, with the movements in commodity markets, and downward US Dollar trend, being key drivers of this. We’ve seen varied performance during the month, but the effects of last month’s sell-off have filtered through and CTAs are looking for new trends to emerge. Market fluctuations present opportunities to some managers, and emphasises the range of different CTA strategies present in the industry.”
