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CTAs post negative returns in December to finish 2015 flat

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CTA strategies posted negative returns across the board in December to end a volatile year ccording to data released by Societe Generale, with the firm’s headline SG CTA index down 1.29 per cent for the month resulting in a flat performance for the year.

The Newedge Indices have now been rebranded to the SG Prime Services Indices, effective immediately. This is part of the integration of Newedge into Societe Generale’s Global Markets division, following the acquisition of Newedge by Societe Generale in May 2014. Given the close alignment of the businesses, the industry-leading benchmarks will now operate under SG Prime Services branding as they play a critical role in the business’s prime services activity. 
Trend following strategies, as shown by the SG Trend Index, were down -2.08 per cent during the month to also end the year flat. The Short Term Traders Index returned -2.61 per cent to finish the year down -5.07 per cent.
Performance attribution from the SG Trend Indicator shows a mixed performance across sectors. Short positioning in the energy complex contributed to a strong performance of +1.41 per cent in the commodity sector. The other asset classes were broadly flat in December, with some slightly positive, some negative. Overall, sector returns for the year were diverse, led by Currencies & Equity Indices (+1.56 per cent & +0.31 per cent respectively), compared to Commodities, Bonds, and Interest Rates (-6.67 per cent, -1.09 per cent, -0.07 per cent).
James Skeggs, Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “Losses in December saw the end to a frustrating year in 2015 for CTA strategies. Strong gains from Q1 were given back in Q2, to then be followed by a series of alternating positive and negative months during the second half to end the year with flat performance.
“We are delighted that the CTA indices will now operate under the Societe Generale brand. This is an important reflection of the success of the integration of our Prime Services business into the larger Global Markets proposition of SG since the acquisition in 2014.”

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