CTAs recorded small gains in December, recovering some of the losses from November to finish up the best year since 2014. The SG CTA Index had positive performance of 0.45 per cent in December, completing the year up 6.27 per cent, according to data released by Society Generale.
Trend-followers continued to lead performance in December, posting profits of 0.64 per cent for the month, and finished 2021 up 9.25 per cent.
CTA performance was consistent throughout December, and 75 per cent of the individual CTA programs in the CTA Index posted gains for the month. Positive performance came from both trend and non-trend based strategies, with a range of performance from 5.5 per cent to -2.5 per cent.
Shorter-term CTA strategies underperformed on average, the SG Short-Term Traders Index lost -0.91 per cent in December, leaving it flat for the year. The 10 individual short-term CTA constituents were split four positive and six negative in the month of December.
The SG Trend Indicator attributed opportunities for trend-following strategies in December mainly to equity markets, where continued up-trends pushed many stock indices to all-time-highs. Equities contributed nearly 8 per cent in 2021 at the portfolio level, second only to Commodity sector gains of over 8 per cent. But Commodity markets were mixed in December, with potential gains from upwards moves in the Energy complex offset by other commodities which did not continue their trends either up or down. Currency and Bond markets presented a challenge for trend-followers in December, US Dollar strength slowed down in the month, and Government bonds continued to lack clear direction up or down.
Tom Wrobel, Director of Capital Consulting, at Societe Generale Prime Services and Clearing, says: “CTAs completed a strong year of positive performance, with the small uptick in December recovering some of the losses from November and edging 2021 to be one of the best years in recent history. Trend-followers enjoyed a good environment for trading in 2021, across a variety of markets, and led performance throughout the year. The differences in trend-following approaches were apparent from numerous periods when individual performance varied considerably, and the range of returns was relatively high.
“Although investors primarily focus on trend-following, CTAs encompass a variety of non-trend based strategies, where positive, non-correlated performance has gained institutional investor attention, and we will continue to monitor asset flows and performance closely.”
