Trend following hedge funds maintain momentum in April, Société Générale data shows

Momentum

CTAs and trend-following hedge fund strategies maintained their recent impressive momentum, profiting from continued trends across commodities and bond markets, new Société Générale data for April shows.

Managed futures funds seized on moves in fixed income assets, while the downward trend in energy – underlined by the West Texas Intermediate benchmark’s futures price dipping into unprecedented negative territory – provided continued opportunities. 

Elsewhere, bonds and gold continued to move upwards as investors sought safe haven assets, SocGen noted.

The SocGen CTA Index – which tracks the daily performance of a select pool of the largest trend-following managers – generated a 0.24 per cent advance in April, powered by gains across a range of managed futures strategies, including quantitative macro, machine learning and trend following.

The index remains down slightly for the year, however, at -0.30 per cent.

SocGen’s Trend, which measures the net daily gains of a pool of trend-following based hedge fund managers, added 0.17 per cent last month to bring its year-to-date return to some 2.47 per cent.

Meanwhile, short-term trend-followers - many of whom recorded eye-catching gains amid the recent economic maelstrom by capitalising on March’s heightened volatility levels, were flat for April at -0.05 per cent.

Having earlier rose 0.72 per cent March, SocGen’s Short Term Traders Index – which monitors the daily performance of a portfolio of CTAs and global macro managers trading a diversified range of strategies with a less than 10-day average holding period – is still the best performing CTA strategy in 2020, up 3.89 per cent since the start of January.

Commenting on the monthly numbers, Tom Wrobel, director of alternative investment consulting, at Société Générale Prime Services and Clearing in London, pointed to CTAs’ ability to continue to deliver non-correlated returns for investors, with trend followers maintaining recent momentum by locking onto sustained trends in bonds and energy markets.

“Having seen unprecedented market moves in March, this month was yet again unusual as crude oil prices dipped into negative territory for the first time ever, but again CTAs rode the storm and were able to generate positive performance,” Wrobel said.