Following a slightly challenging September period, CTAs reported negative performance in October, according to data released by Societe Generale.
All CTAs entered into negative territory, both for the month and YTD, with the SG CTA Index down 2.79 per cent and the SG Trend Index down 4.29 per cent. The short-term and quant macro strategies fared considerably better as the SG STTI Index was down marginally by 0.40 per cent.
Continuing from September’s slight drop, losses were driven primarily by trend-following strategies, with losses in commodities, equities and bonds. Commodities were a particular drag on results, with the upwards trend reversing and the oil market losing -1.58 per cent. A number of long equity market positions also reverted, while bond markets rallied against the developing downwards trend, leading to losses in many of these markets.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “Following a slight downturn in September, CTAs fortunes continued in what was a challenging October, driven largely by challenging movements within in the market and macro-economic conditions. We will closely monitor if this trend continues as we approach the end of the year.”
