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CTAs see mid-month gains erased by market reversals in final week of June

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All of Societe Generale Prime Services’ CTA indices posted negative returns at the end of June, despite being in positive territory up until the last week of the month.

The SG CTA Index closed the month down 3.47 per cent, and is now down 3.48 per cent for the first half of the year. Short term strategies fared slightly better, but the Short Term Traders Index still closed the month down 1.06 per cent.
The end of June was particularly difficult for trend followers. Mid-month the Trend Index had been enjoying a positive run of performance, up +3.08 per cent, and back in positive territory for the year. Trend followers struggled in the last week of June and finished the month down 3.77 per cent, still in the red -5.87 per cent YTD.
The SG Trend Indicator ended June -5.70 per cent in line with the Trend Index, and showed that the commodity sector contributed the only positive sector returns in June, slightly up 0.44 per cent. This was primarily from the sustained short trend in crude oil, which contributed 0.66 per cent, although individual trend follower results varied. Bonds and Equity indices had also generated positive returns on the back of continued upward price trends prior to the last week of June, after which market reversals resulted in losses of 3.86 per cent and 0.43 per cent respectively.
The currency sector also struggled in June, with more gradual losses throughout the month, in particular from short positions in Australian Dollar and Canadian Dollar (vs USD), contributing -1.46 per cent and -1.07 per cent respectively.
Tom Wrobel, Director of Alternative Investments Consulting at Societe Generale Prime Services, says: “The performance of CTA strategies was frustrating in June, after bond and equity markets dipped in the last week and market conditions became more challenging. However, we observe that selected commodity markets generated positive returns throughout the month, and short-term strategies fared slightly better. It will be interesting to see whether equities and bonds bounce back in line with the established long-term trends, or if we are about to see the emergence of new directional trends following the recent market reversal.”

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