March produced mixed returns for CTA strategies, with the SG CTA Index finishing the month down 0.75 per cent, with positive contributions from five out of the 20 constituent CTAs.
Short term traders produced the first positive return for the index this year, turning around two previous negative months performance, ending up 0.62 per cent.
Trend followers lagged other CTA strategies, the SG Trend Index was down 2.26 per cent, and the SG CTA Mutual Fund Index fell 1.14 per cent. Overall, however, the CTA index and CTA Mutual Fund Index are still in the black year to date.
The SG Trend Indicator closely mirrored the returns of the Trend Index, and saw positive contributions from long trends in equity indices (+2.47 per cent) and small interest rate sector gains (+0.02 per cent). The main negative contributors were commodities (-2.13 per cent), currencies (-1.68 per cent), and bonds (-0.79 per cent). The currency sector has been particularly challenging for trend following strategies, with no clear directional trends this year, down -5.81 per cent YTD.
Tom Wrobel (pictured), director of alternative investments consulting at Societe Generale Prime Services, says: “Market conditions are currently challenging for many CTA strategies. Stock indices continue to be the main driver of performance for trend followers, with few discernible trends in other asset classes so far this year. Recent market volatility and fluctuations have resulted in mixed performance for CTAs, providing opportunities for some managers and emphasising the range of different CTA strategies in the industry. With further political uncertainty to come, especially in Europe, the long-term diversification benefit of managed futures strategies holds true.”