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CTA performance in the positive for February

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According to the data from Societe Generale Prime Services February was a strong month for managed futures strategies, with all three CTA indices (the CTA index, the CTA mutual fund index and the Trend index) producing performance in excess of 2 per cent.

Trend followers led this positive turnaround, returning 2.88 per cent. Short term traders, on the other hand, continued to struggle, with negative returns of -1.95 per cent.

The Trend Indicator attribution data showed that equity indices, contributing 2.30 per cent, were the main driver of positive returns for trend followers in February with gains from long positions in all markets. The commodity sector was positive for the first month since June 2016, contributing 0.11 per cent. The bond sector was the only negative return, contributing -0.60 per cent, as bond markets rebounded slightly against short positions established in 2016.
Tom Wrobel (pictured), Director of Alternative Investments Consulting at Societe Generale Prime Services, says: “The continuing performance across all equity indices this month has been a strong driver for CTA performance, while moves in some of the Commodity and Currency markets have also helped. Bond markets are at the moment proving more challenging, having been a significant performance contributor for most of 2016. While the SG Trend Indicator is now long all Equity Indices, the wide dispersion of positions within other asset classes should mean that CTAs continue to offer diversification benefits to traditional portfolios.”

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