Following an improvement in August, CTAs reported slightly negative performance in September, according to figures released by Societe Generale Prime Services.
The SG CTA Index was down 0.63 per cent, and the SG Trend Index was down 0.97 per cent. The short-term and quant macro strategies fared slightly better as the SG STTI Index was down marginally by 0.24 per cent.
Trend-followers’ performance was mixed as attribution data from the SG Trend Indicator shows there were gains in commodities, but losses in bonds and equities. Commodities contributed +1.27 per cent to the portfolio, particularly upward trends in crude oil and heating oil. On the other hand, bonds contributed -4.30 per cent to the portfolio, driven by the decline in US and European bonds.
Depending on each CTA’s model timeframes, this move went against the emerging medium-term upward trend that had developed over the summer. Only the US two-year bond displayed consistent downward momentum, with the model positioned short to capture the down move and generate positive performance of +0.51 per cent at the portfolio level.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “Following a positive August, CTAs faced a slightly challenging month in September with short-term strategies performing marginally better. Interestingly, commodities continued to contribute positive performance and bonds were a drag. We will keenly observe if this trend continues as we approach the final quarter of the year.”
