After what was a very strong start for CTAs in 2016, October data continued to see the downward performance the industry has faced since the summer, according to Societe Generale Prime Services SG CTA Indices.
All SG Managed Futures indices ended the month negative and the flagship SG CTA Index ended the second consecutive month in the red, at -2.60 per cent, down 1.68 per cent YTD.
However, not all CTA strategies experienced difficult conditions; 15 per cent of the CTA Index’s 20 constituents contributed positive returns in October.
Conditions were particularly challenging for trend followers, with SG Trend Index down 3.87 per cent and the SG Trend Indicator down 4.96 per cent.
The SG Short Term Traders Index and SG CTA Mutual Fund Index were also in negative territory, down 2.15 per cent and 2.89 per cent respectively.
Losses in the Trend Indicator stemmed from the commodity and bond sectors, contributing -4.07 per cent and -2.21 per cent respectively. These losses were predominantly driven by short positions in precious metals, and long positions in energy, as well as long European government bond positions.
Currencies were the only sector to contribute positive trend following returns, primarily driven by a strong US Dollar versus the weak British Pound and Euro.
Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services, says: “CTAs have had an interesting range of performance in 2016, particularly driven by the first quarter this year. Despite market conditions becoming increasingly challenging in October, there were positive returns from many non-trend following strategies, and trend-followers benefited from the continuation of Currency trends. All managed futures strategies have seen a good level of interest from institutional investors this year, seeking non-correlated return streams.”