CTAs closed the first month of 2022 firmly in positive territory after a rollercoaster mid-month, with the SG CTA Index up 2.10 per cent in January.
Trend-followers continued to lead performance after finishing a strong 2021, the SG Trend Index posted performance of 3.37 per cent, in a month when nine out of the 10 individual trend-following CTA constituents were positive.
Shorter-term CTA strategies made similar gains. The SG Short Term Traders Index made a gain of 1.23 per cent, with over half of the individual short-term CTA constituents posting positive performance during January’s volatile market conditions.
CTA gains were eroded twice in January however were more than made back by the end of the month. The SG Trend Indicator attributed positive opportunities for CTAs to the Commodity, Bond, and Currency sectors. Upwards trends in commodities, especially the energy complex, and the US dollar were the primary contributors to performance, as well as downward moves in many global government bond markets. The main headwind to trend-followers was uncertainty in equity markets, with volatility in many markets and movements against the established bull trend.
Tom Wrobel, Director of Capital Consulting, at Societe Generale Prime Services and Clearing, says: “It was fantastic to see CTAs deliver another positive month performance after a strong 2021, with the inflation theme still developing across global markets. CTAs benefited from the continued bull market in equities last year, but as equity markets slowed down in January, CTAs were still able to capture opportunities across a diverse set of asset classes. Institutional investor interest continues to be high for CTAs, in trend-following as well as other non-trend strategies, which may be well placed to trade during more volatile markets.”
