CTAs indices begin 2020 in positive territory led by strong performance from short-term strategies

Continuing the positive run from 2019, CTAs kicked off 2020 with all Societe Generale CTA indices in positive territory and the SG CTA Index closing the month at 0.83 per cent. Performance was led by the Short-Term Traders Index, which ended the month up 2.61 per cent.

Performance at the month-end was positive amongst all other CTA indexes, including trend following, however the latter half of the month saw retractions to early gains, as markets became volatile.  Data from the SG Trend Indicator showed that this mid-January volatility led to reversals in many global markets, impacting CTA performance.

Short-term CTAs proved better equipped to react to these changing market conditions. Across the board short-term traders took advantage of increased volatility, with nine-out-of-ten of the short-term index constituents posting positive performance in January.
Tom Wrobel, Director of Capital Consulting, at Societe Generale Prime Services and Clearing, says: “It is very encouraging to see CTAs off to a strong start to the year. Whilst early month gains were impacted by global volatility, the range of CTA strategies proved resilient, continuing the positive performance we saw in 2019. This demonstrates the important diversifying role that CTAs play in a portfolio.”