Following on from an improvement in February and a strong March, April has been another positive month for CTAs. The SG CTA Index was up 2.76 per cent, and now it’s firmly in positive territory for 2019 year to date (+4.74 per cent).
The strong performance has been driven by trend-followers as the SG Trend Index was up 4.15 per cent and 7.16 per cent for year-to-date, ahead of the other indices, and all ten of the index constituents were positive. However, the Short-Term CTAs continued to find market conditions challenging and as a result were down slightly by 0.30 per cent in April.
Attribution data from the SG Trend Indicator suggests that CTAs benefitted from the return trends in a variety of markets in April. The upward trends in equity indices contributed +3.73 per cent to the portfolio, as the S&P 500 reached a record high at the end of April. Furthermore, gains from upward trends in the US Dollar, the energy complex and other commodity markets have had a positive impact.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “There is an uplift in the CTA industry’s mood driven by improvements in performance over three consecutive months. No doubt, everyone is hoping for this positive run to continue through the year’s second quarter. Looking at the SG Trend Indicator, it will be interesting to observe how trends in equity indices continue to impact performance.”
