Trend-following hedge funds continue to advance

CTAs

Trend-following hedge fund strategies are maintaining their recent positive momentum, with Société Générale’s CTA indices broadly showing further gains in April as fresh turmoil in commodities markets underpin continuing market uncertainty.

SocGen’s CTA Index – which measures the daily performance of a select pool of the largest trend-following managers – has returned 1.35 per cent so far in April, building on its flat performance in March, and is now marginally up so far this year, at 0.81 per cent.

The SG Trend Index – which calculates the net daily gains of a pool of trend-following based hedge fund managers – has added a further 1.86 per cent this month. The index is now up 4.19 per cent since the start of 2020.

Meanwhile, short-term trend-followers, which have led the CTA pack during its recent surge, are flat this month at 0.15 per cent. The SG Short Term Index is still up this year, having gained 4.19 per cent year-to-date.

Trend-following hedge fund strategies have garnered positive headlines in recent weeks, generating strong returns for investors during the unprecedented market turmoil by locking onto several sharp moves in commodities and currencies. By comparison, hedge fund managers running other strategies suffered sharp reversals as fears over the coronavirus pandemic impacted markets.