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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 ......................

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