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Laxman Pai, Opalesque Asia: Societe Generale Prime Services said that CTA performance improved in August 2018 led by positive returns of trend following strategies. The SG CTA Index was up +2.64%.
A press release from the Global Markets' division of Societe Generale Corporate & Investment Banking said that, following a challenging period in July, CTA performance improved in August with all CTA indices posting positive performance.
According to SG Prime Services, the strong month was led by the uptick in the performance of trend followers, as the SG Trend Index was up +3.92%, but all CTA strategies benefitted. The SG Short Term Traders Index was up +1.07%.
The SG Trend Indicator was up +4.14% and the key sectors which contributed were commodities, currencies, and equities. In an interesting reversal, commodities continued to lead performance YTD, having been a drag in recent years.
In particular, the continued downwards trends in soy beans, and precious metals such as gold, and upwards trends in crude oil produced positive performance.
The release quoted Tom Wrobel, Director of Alternative Investments Consulting, at Societe Generale Prime Services, saying that: "It is very encouraging to see the improvement in CTA performance, particularly the trend following strategies as they have had a challenging year. It will be interesting if the performance continues to improve as market trends develop and move independently, or if conditions reverse."
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