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Short term CTAs show improved performance

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Fortunes for CTA strategies were mixed in November, according to the latest data for the SG CTA indices released by Societe Generale Prime Services.

The SG Short Term Traders Index was the only index to post positive performance in November returning 0.43 per cent for the month. SIx out of the 10 constituent CTAs contributed positive returns. The SG STTI is still the best performing CTA index for the year however, it remains in negative territory at -1.15 per cent YTD.
The SG CTA Index posted a negative return of -1.83 per cent and was down overall -3.38 per cent YTD. The SG Trend Index fared slightly better returning -1.25 per cent in November, but remains the worst performing Index for the year at -6.79 per cent YTD.
The SG Trend Indicator posted a positive performance of 3.89 per cent for the month. This was primarily driven by short positions in nine out of the 10 bonds, accounting for 3.88 per cent of the returns for the month. The equity, currency and interest rate sectors returned marginally positive performance for the month which was offset by losses in the commodities sector of -0.54 per cent, as the model whipsawed between long and short positions across the energy complex.
Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services, says: “With the end of year rapidly approaching and many CTA managers no doubt hoping to post a positive gain for investors and their own historical records, November has continued to be a difficult environment. Markets have been indisputably challenging this year with many political events causing uncertainty. CTAs have continued to fulfil their purpose of contributing uncorrelated performance to traditional asset classes. Short term traders are faring best in the current market, whilst trend followers are struggling. This could shift, however, if 2017 sees political change starting to bed in and stronger trends taking hold.”

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