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Mixed CTA May Performance Shows Few Points of Light

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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

 

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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.

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