Tue, Nov 20, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

CTA performance hit by challenging market environment in October: Societe Generale

Friday, November 09, 2018

Laxman Pai, Opalesque Asia:

CTAs reported negative performance in October following a slightly challenging September period, said a report by Societe Generale Prime Services.

"All CTAs entered into negative territory, both for the month and YTD. In October, The SG CTA Index was down -2.79% and the SG Trend Index was down -4.29%," the report based on October 2018 performance data for its SG CTA indices said.

The short-term and quant macro strategies fared considerably better as the SG STTI Index was down marginally by -0.40%, it said.

Continuing from September's slight drop, losses were driven primarily by trend-following strategies, with losses in commodities, equities and bonds.

Commodities were a particular drag on results, with the upwards trend reversing and the oil market losing -1.58%.

A number of long equity market positions also reverted, while bond markets rallied against the developing downwards trend, leading to losses in many of these markets.

Tom Wrobel, Director of Alternative Investments Consulting, at Societe Generale Prime Services, said: "Following a slight downturn in September, CTAs fortunes continued in what was a challenging October, driven largely by challenging movements within in the market and macro-economic conditions. We will closely monitor if this trend continues as we approach the end of the year."

The SG CTA Index, which is equally weighted, calculates the daily rate of return for a group of the largest 20 ......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. PG&E: Are these hedge funds still holding PG&E stock?, PG&E rout may be hitting hedge funds after raised bets before fire[more]

    Are these hedge funds still holding PG&E stock? Frm Barrons: Hedge funds that bet big on PG&E (PCG) might have bitten off more than they can chew. Regulatory filings show that a number of hedge funds including Baupost Group, Viking Global Investors, and BlueMountain Capital were PG&E stoc

  2. GE: Several high-profile funds raised stakes in GE before selloff, GE credit crunch ripples across Wall Street, GE's tumbling bonds are highlighting a bigger problem at the fallen giant, After GE, investors are watching these debt-laden companies[more]

    Several high-profile funds raised stakes in GE before selloff From Reuters: Several prominent investors raised their stakes in General Electric Co (GE.N) in the third quarter, before its shares sank in recent weeks, filings with the U.S. Securities and Exchange Commission showed on Wedne

  3. Tax: Offshore hedge funds to be targeted by new IRS rules coming soon, Technology investors fear regulators' net, Rich investors eye tax-favored development funds[more]

    Offshore hedge funds to be targeted by new IRS rules coming soon From Bloomberg: The Internal Revenue Service is close to releasing a proposal that would narrow the U.S. tax benefits for offshore hedge funds, an agency official said. The proposed regulations will address a change in

  4. U.S.: Hedge funds' historic bond bet swing suggests Fed close to cycle end, Goldman Sachs believes the US economy will slow to a crawl next year[more]

    Hedge funds' historic bond bet swing suggests Fed close to cycle end From Reuters: A potentially huge shift is underway in the U.S. bond market, underscored by a historic swing in hedge fund positions: investors are beginning to think the U.S. economy is close to peaking and the Fed is ne

  5. New Launches: Hedge fund Solus looks to raise $750 mln fund, Jupiter launches absolute return fund of funds for German clients, RED Capital Partners launches $57.13m fund to invest in European tech companies founded by women, GLP unveils new continental European fund, Portfolio Advisors closes ninth FoF on $1.2bn, NN IP launches European Sustainable Infrastructure Debt fund[more]

    Hedge fund Solus looks to raise $750 mln fund From Reuters: Solus Alternative Asset Management LP is launching a $750 million fund focused on distressed and stressed investment opportunities, according to a person familiar with the matter and a letter to investors Reuters reviewed. Th