- Advertisement -

Related

Mixed CTA May Performance Shows Few Points of Light

- Advertisement -

Stockholm (HedgeNordic) – The latest performance figures for the Societe Generale (SG) CTA indices are showing a flatish performance overall for CTAs in May, punching in at -0.18% for the month and -2.76% YTD, contributing to an already dismal 2017 in which the strategy has found it hard to hold head above water globally.

The overall trend suggested by the SG findings is broadly complemented by performance among Nordic CTAs, which were down -0.23% in May and -2.51% YTD on the Nordic Hedge Index CTA sub-index, having experienced just one positive month so far (February) in 2017.

All SG Managed Futures indices were down YTD, with Trend-following strategies down -0.35% in May (despite positive returns from four out of ten constituents on the SG Trend Index), although the Short Term Traders Index posted a slight positive return of +0.29% for the month.

“Although performance of CTA strategies remains mixed this month, we observe the development of medium- and long-term duration trends, with 25% of market trends in position between 51-100 days, and 22% of market trend duration greater than 200 days,” commented Tom Wrobel, Director of Alternative Investments Consulting at Societe Generale Prime Services to the findings. “Equity markets have continued to contribute to positive performance this year, but we are pleased to see opportunities from a variety of other sectors, namely bonds, commodities and currencies.”

Indeed, SG’s Trend Indicator, which was up 3.42%, suggested return opportunities for trend followers, with 4 out of 5 sectors making positive return contributions. Trend-following returns continue to be driven by long trends in equity indices, which are now up 8.60% YTD folloing a contribution of 2.00% in May.

Long positions in bond markets also contributed +1.32% in May, rebalancing losses incurred earlier in 2017, and commodity markets contributed a positive performance in May for the second consecutive month due mainly to short trends in the energy complex. Small gains were also made in the currency sector, particularly in short USD positions versus the EUR and CHF.

Picture: (c) Ollyy—shutterstock.com

 

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

Glenn Leaper, PhD
Glenn Leaper, PhD
Glenn W. Leaper, Associate Editor and Political Risk Analyst with Nordic Business Media AB, completed his Ph.D. in Politics and Critical Theory from Royal Holloway, University of London in 2015. He is involved with a number of initiatives, including political research, communications consulting (speechwriting), journalism and writing his post-doctoral book. Glenn has an international background spanning the UK, France, Austria, Spain, Belgium and his native Denmark. He holds an MA in English and a BA in International Relations.

Latest Articles

Swiss Family Office Seeks $5 Million Allocation to Liquid Alternatives

A Swiss family office is seeking to allocate $5 million to liquid alternative investment strategies, including hedge funds, managed futures, commodities, and funds providing...

OP’s R2 Crystal Sees Stronger Case for Hedge Funds

For much of the past decade, hedge funds struggled to compete against strong beta-driven markets fueled by ultra-low interest rates and abundant liquidity. But...

Three Years In, Impega’s Formula Remains Agility

Equity hedge fund Impega marked its three-year anniversary this May, concluding the period with annualized returns of approximately 35 percent. According to founder and...

Protean Select Hits SEK 1 Billion Capacity Ceiling

Just months after reducing the capacity of Protean Select to SEK 1 billion, Protean Funds Scandinavia has reached the threshold and decided to suspend...

Qblue and Mandatum Recognized at CTA and Discretionary Awards

Two Nordic hedge funds have been recognized at the CTA and Discretionary Trader Awards 2026, organized by The Hedge Fund Journal. Qblue Balanced’s Qblue...

CTAs and Alpha Generation: Is Efficient Implementation the Answer?

By Andrew Beer, Co-Founder of DBi: After a decade of studying CTAs, we have drawn three conclusions about the nature of their alpha generation. At the...

Allocator Interviews

In-Depth: Diversification

- Advertisement -

Voices

Request for Proposal

- Advertisement -