CTAs make gains in November as short-term strategies lead performance

Tom Wrobel, Societe Generale

Following two challenging months, all SG CTA indices were back in positive territory in November with the SG CTA Index closing the month at +0.87 per cent as 14 out of 20 constituents were positive and cemented their gains YTD, up at +6.93 per cent.

Short-term CTAs led performance as eight out of ten constituents were positive driven by more favourable market conditions. The short-term CTA Index was up +1.25 per cent for the month and +3.33 per cent YTD.
 
Trend followers extended gains from continued upward trends in equity markets and US Dollar, as the American stock market reached new all-time highs. As the global bond rally has been slightly slowing in recent months, the SG Trend Indicator has positioned itself short many of these bond markets, although individual CTA positioning varies and many may have gained from a small uptick in price.
 
However, trend followers’ performance in commodity markets was mixed. Losses in energy and gold, which have moved sideways due to the continued lack of a clear direction, eroded gains from soft and agricultural markets.
 
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services and Clearing, says: “It is very encouraging to see CTA performance pick up as we approach year-end, especially short-term strategies which have historically adapted faster to market moves and volatility. It will be interesting to see if market conditions continue to be favourable to CTAs, ending 2019 on a positive note.”