Following on from an improvement in February, all Societe Generale CTA indices posted positive performance in March, bringing the CTA Index and Trend Index back on track for 2019 year to date.
In fact, it has been the best month for CTAs since the beginning of last year, in terms of returns. The uptick has been driven by trend-followers, as the Trend Index reported its best performance since January 2018 and all ten of the index constituents were positive.
The short-term CTA strategies were also positive on average in March, however, the individual performance was mixed as only six out of ten constituents were positive. Although the SG Short Term Traders Index was up +0.92 per cent in the month, it remained slightly in negative territory for 2019 year to date.
Attribution data from the SG Trend Indicator suggests that the upward trend in bond markets was the main driver of positive performance in March, contributing +5.95 per cent at the portfolio level. The renewed upward trend in equity indices was another positive contributor, as well as declines in the Euro and Canadian dollar compared to the US dollar. However, commodities contributed negatively to the portfolio as markets adapted to new directions, and the sector lost -1.25 per cent.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “It is encouraging to see CTAs’ positive performance in March, following a prolonged period of challenging market conditions last year and the beginning of 2019. Trend following strategies have delivered impressive returns with positive contributions from a range of markets, and we will keenly see if this continues in the year’s next quarter.”