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Alternative Market Briefing

CTAs improve in February

Monday, March 11, 2019

Laxman Pai, Opalesque Asia:

Following a challenging start to the year, CTA Indices showed signs of improvement with over half of trend constituents in positive territory in February.

The SG CTA Index was up by 0.42%, whilst the SG Trend Index was up by 0.81%, said Societe Generale Prime Services. 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 investment.

The SG Trend Index, which is equally weighted, calculates the daily rate of return for a group of the largest 10 trend-following based CTAs that are willing to provide daily returns and are open to new investment

Short term strategies struggled and underperformed other strategies, with the SG STTI down by -1.19% for the month. The SG Short-Term Traders Index is designed to track the daily performance of a group of the largest 10 short-term, diversified CTAs that have a holding period shorter than 10 days, are willing to provide daily returns and are open to new investment.

The SG Trend Indicator attributed February's positive results to gains in currencies and a selection of commodity markets, as well as trends in interest rate markets. Long positions in bond markets reverted slightly, leading to small losses, whilst positions in equity markets began to adapt to the renewed upward trend.

Tom Wrobel, Director of Alternative Investments Consulting, at Societe Generale Prime Ser......................

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