CTA performance dips in May
Following strong performance in March and April, CTAs struggled in May as many markets pulled back slightly from established trends. The SG CTA Index was down -2.36 per cent, however it still remains in positive territory for the year at +2.22 per cent.
There has been a marginal improvement in Short Term Strategies’ performance as the Index was up +0.26 per cent.
Trend followers underperformed as the Index was down -2.47 per cent, but the YTD figures are still positive at +4.56 per cent. The SG Trend Indicator showed that Equity indices and the Energy complex were the most challenging sectors for trend followers to navigate, losing -5.65 per cent and -3.40 per cent respectively as markets reverted slightly from their previous upward trends. Conversely, upward trends in bond markets helped contribute +4.69 per cent at the portfolio level, as a result of long positions established at the end of 2018.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “After a positive run over the last couple of months led by trend-following strategies, CTAs had a slightly more difficult May. Trend followers’ performance has been particularly impacted by equity indices and the energy markets. As we approach the second half of 2019, we will watch closely how market trends develop and whether there is a pick-up in volatility.”