Managed futures hedge funds have mounted an impressive fightback in recent weeks after finishing last month in the red, with new data from Société Générale showing its key CTA and trend-following indices storming into positive territory at February’s mid-way point.
This corner of the hedge fund industry – which aims to capitalise on market trends across a selection of asset classes, including equities, bonds, commodities and currencies, typically using computer-driven algorithms – endured fluctuating fortunes in January. Equity market losses as a result of the GameStop fiasco, coupled with currency losses, ultimately sank early-month gains in commodities and bonds.
Now, though, SocGen’s main SG CTA Index – a daily performance barometer tracking 20 of the largest managed futures hedge funds’ returns – has surged 3.74 per cent so far in February.
The rise puts the benchmark up 2.50 per cent year-to-date, reversing January’s 1.14 per cent loss.
Meanwhile, the SG Trend Index – which lost 0.75 per cent in January, having been up 2.5 per cent earlier in the month – has now rebounded into the black in February so far, returning 4.44 per cent over the past two weeks.
The benchmark – a measure of the largest 10 trend-following hedge funds’ performances – is now up 3.66 per cent since the start of the year.
Société Générale’s Short-Term Traders Index, which tracks daily returns for CTAs and global macro managers with 10-day trading windows, has added 1.37 per cent during February. The gain has partly clawed back January’s 1.59 per cent loss, though the index remains slightly down – at -0.27 per cent – in 2021 year-to-date.