After a performance dip in May, June has been a positive month for CTAs, according to June 2018 performance data for Societe Generale’s SG CTA indices.
The SG CTA Index gained 0.55 per cent. Trend followers performed even better and led performance: the Trend Index was up 1.06 per cent with 7 out of the 10 constituent strategies posting positive results. Short Term Strategies had a mixed month, however, ending down -0.42 per cent with 7 out of 10 constituent strategies in negative territory.
The Trend Indicator was up 6.12 per cent in June, with gains from a number of sectors. The Commodity sector was the largest contributor to positive returns, ending the month up 3.13 per cent. Long positions in Energy, such as Crude oil (+1.38 per cent), and short positions in Agriculture, including Soy beans (+1.57 per cent), supported strong performance in particular. Trend followers also benefited from Long US Dollar moves, which contributed 2.09 per cent, as well as positive performance in Bonds and Equity indices.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “June has been a strong month for CTAs and helped offset some of the performance challenges we saw in May. It was encouraging to see performance gains from a number of sectors during the month, in particular Commodity markets. While CTAs overall have failed to indicate a clear direction so far this year, the Trend Indicator is showing positive signs. We will continue to monitor market conditions that could impact the direction of CTAs over the coming months.”
