CTAs close best year since 2014 as trend followers lead performance in 2019

Following positive gains in November, CTAs experienced a small dip in December, as the SG CTA Index closed the month at -0.65 per cent. Nevertheless, all indices closed the year in positive territory with the SG CTA Index and the Short-Term Traders Index up by +6.24 per cent and +3.62 per cent YTD respectively.

There was return dispersion between all the CTA strategy styles from trend followers to non-trend and short-term CTAs. Looking at the year-end figures, it is clear that trend followers led performance in 2019 with the SG Trend Index up by +9.22 per cent YTD, marking their best year since 2014.

Trend followers made December gains from several upward trends, including renewed strength in equity markets, as well as strong energy markets and currency movements for the Mexican Peso and British Pound. However, other markets were more challenging, in particular bonds which slid downwards at the end of the year. CTAs’ performance in these markets was mixed depending on individual model timeframes and risk management used to capture trends. However, bonds remained the primary driver of trend-follower performance in 2019, being the main contributor for returns during the year.
Tom Wrobel, Director of Capital Consulting, at Societe Generale Prime Services and Clearing, says: “It is very encouraging to see CTAs end 2019 on a positive note, especially as 2018 was a challenging year. The performance demonstrates the important diversifying role that CTAs play in a portfolio. It also very interesting to see that CTAs in general had their best year since 2014, with significant differences between CTA programmes, and we will monitor if they maintain the momentum in 2020.”