CTAs stage comeback with further gains 

Athletics track

Managed futures strategies have been slowly clawing back gains in recent days, as steep downward trends continued to rock global markets on the back of the coronavirus pandemic.

Société Générale’s SG CTA Index – which tracks the daily performance of a select pool of the largest trend-following managers – is flat so far in March at -0.01 per cent, recovering from its 1.50 per cent fall in February. The index remains flat year-to-date at 0.66 per cent.

The SG Trend Indicator – a market-based benchmark highly correlated to the returns of trend-following hedge funds – has notched up an eye-catching near-23 per cent so far during March, as wider equity markets tumbled. The index’s year-to-date gains have reached more than 9 per cent.

Research by Lyxor Asset Management this week suggested CTAs recovered February’s lost ground by upping their long fixed income and precious metal positions, while steadily reducing long equity bets.

Elsewhere, SocGen’s SG Trend Index has gained 1.79 per cent so far this month, bringing its returns since the start of January to 2.27 per cent. The benchmark measures the daily net returns for a pool of trend-following hedge fund managers.

Trend-followers with a shorter-term focus also continue to do well. The SG Short Term Traders Index – a performance indicator of those CTAs and global macro funds that trade diversified strategies with a 10-day holding period  – have advanced 0.90 per cent so far this month, following a 0.90 per cent February gain. The index is up 4.17 per cent year-to-date.  benefitted from the increased market volatility amid last week’s dramatic sell-off. It remains up more than 3.5 per cent in 2020, adding 0.90 per cent in February.

The recent gains partly reverse the losses suffered by CTAs in late February when markets began to correct as fears over the growing coronavirus crisis seeped into markets. Managed futures funds had an initially-strong start to 2020, having tapped into the continued bull market run in equities, as well as strong trends in currencies and bonds.