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Following the strongest first quarter since 2008, managed futures endured a challenging second quarter of 2015. June saw CTA managers experience losses at both the beginning and at the end of the month, resulting in all indices ending the month in negative territory.

The Newedge CTA Index declined 4.20% during the month of June. However, the performance of the index at the end of the first half of the year was somewhat protected by stronger returns at the beginning of the year, standing at -2.28% Year-to-date (YTD).

Performance attribution data from the Newedge Trend Indicator shows mixed contribution from different sectors for trend following strategies. Both the bond and currency sectors contributed positively with a performance of +0.75% and +0.59% respectively, while the commodity and equity sectors showed negative performance for the month, -2.67% and -1.04%.

James Skeggs, Global Head of Alternative Investments Consulting at Societe Generale Prime Services, said:

“CTAs enjoyed a strong start to 2015, continuing the positive run that began in 2014. But there is no doubt that the last three months of 2015 were challenging for all.

“During June there were clearly two forces at work: we saw positive returns from the bond and currency sectors offset by negative contributions from commodity and equity indices.

“Overall, CTAs ended the first half of the year slightly down and it will be interesting to see how they navigate the recent market volatility, and how returns will evolve in the second half of 2015.”

Press Release