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Matthias Knab, Opalesque:

After an initial positive run in the first few days of the year, all of Societe Generale Prime Services' CTA Indices were in negative territory by the end of January.

The SG Trend Index was down by -3.25% and the SG Short-Term Traders Index was down by -1.71%. The SG CTA Index returned -1.99% and was helped slightly by three non-trend following managers' positive performance in the month.

The SG Trend Indicator attributed losses to equity markets and currencies. They were positioned short in risk assets, hence equity markets' reversal and gains in one of their best January's ever, contributed to losses of -3.91% at the portfolio level.

The continued lack of direction in currency markets also hurt trend follower performance, with losses of -2.53%.

The long positions in bonds offered some respite as bond markets rallied and contributed +1.49%.

Tom Wrobel, Director of Alternative Investments Consulting, at Societe Generale Prime Services, said: "CTAs continued to weather unfavourable conditions after a challenging year and interestingly, trend-followers were hit by their short positions in risk assets. We will keenly observe if the reversal in equities and lack of direction in currencies continue to negatively impact their performance."

The SG CTA Index, which is equally weighted, calculates the daily rate of return for a group of the largest 20 CTAs that are willing to provide daily returns and are open to new......................

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