Trend-following hedge funds’ winning streak continues into May

trend following

CTAs and trend-following hedge funds have begun May positively. Société Générale’s main broad-based CTA Index has advanced 1.37 per cent so far this month, which has brought its year-to-date return to more than 7 per cent.  

The benchmark, which tracks the daily performance of 20 of the largest managed futures hedge funds, earlier rose 3.02 per cent in April.

Trend-following hedge fund strategies, tracked by by SocGen’s SG Trend Index, have continued their winning streak, notching up 1.83 per cent in the first week of May, which came on the back of April’s 2.83 per cent gain. That has brought the benchmark’s overall return to 8.87 per cent so far this year.

Shorter-term CTA funds, which made a small 0.17 per cent return in April, have stumbled over the past week, giving back 0.23 per cent so far in May. Performance among short-term CTAs remains varied, with the range of returns spanning 4 per cent to -4 per cent during April. Nonetheless, the SG Short-Term Traders Index – a daily returns snapshot of CTAs and global macro managers with 10-day trading windows – is still in the black to the tune of 1.92 per cent since the start of 2021.

Trend-followers seized on the sustained upwards trends across stock markets and commodities, with long bets driving the bulk of April’s gains, SocGen explained. Other sectors were less clear-cut, with currencies seeing mixed performances, and European bonds reverting less against the established downward trend than US markets.

Tom Wrobel (pictured), director of capital consulting at Société Générale Prime Services and Clearing, said CTAs’ sustained momentum is delivering “exactly what institutional investors are hoping for”.

Commenting on April’s numbers, Wrobel pointed to a series of performance drivers, rather than just any one market or sector.

“It is exciting to see positive performance from a range of different CTA strategies: from classic trend-followers, to fundamental global macro, and new machine learning based programmes,” he added.

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Hugh Leask
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Editor, Hedgeweek