Following a mixed first half of the year, CTAs returned to positive performance in July, according to the indices calculated by Societe Generale Prime Services. The Newedge CTA Index posted +3.01 per cent during the month of July, returning to positive year-to-date performance (+0.64 per cent YTD).
Trend followers lead CTA returns in 2015 with the Newedge Trend Index posting a marked increase of +3.84 per cent in July and a performance of +1.26 per cent so far this year.
The Short term Trades Index also showed positive returns, up +0,55 per cent in July. The Newedge Trend Indicator underperformed the Newedge Trend index and posted a loss of -2.37 per cent.
Performance attribution data from the Newedge Trend Indicator shows that the currency sector contributed positively with a performance of +1.22 per cent. However, the commodity, bond and equity sectors offset those gains by posting -1.81 per cent, -1.30 per cent and -0.32 per cent respectively.
James Skeggs (pictured), Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “Our managed futures indices show that CTAs enjoyed a good start to the second half of the year, boosted by strong contributions from the currency sector. The rebound in July demonstrates that CTAs continue to deliver positive performance, and gives reasons for optimism in the second half of 2015.”