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Alternative Market Briefing

Strong CTA performance extends through August

Friday, September 06, 2019

Laxman Pai, Opalesque Asia:

CTAs reported positive performance again in August, following a strong July, says Societe Generale (SG).

The SG CTA Index was up 3.45%, adding to gains of over 10% year-to-date for these firms, which would put them on track for their best year since 2014.

Short-term CTAs also made performance gains in August, up +1.84%, but returns were mixed with seven out of ten constituent managers positive with the rest negative.

Trend followers continued to do well and extend gains, as the SG Trend Index was up +6.52% and +19.96% YTD.

Attribution data from the SG Trend Indicator showed that trend followers continued to benefit from upward trends in bonds, which contributed +5.2 % in August, and have resulted in gains of +17.49% YTD.

Also, trends in the currency sector and precious metals (gold and silver) contributed gains, as these markets rallied upwards. However, equity markets were more challenging, with reversals from established upward trends resulting in small losses of -3.08%.

Tom Wrobel, Director of Alternative Investments Consulting, at Societe Generale Prime Services and Clearing, says: "August was clearly a strong month for CTAs, and we are seeing the potential for these strategies to diversify traditional portfolios as equity markets have slowed their upward march."

He added: "We will continue to keenly observe if the positive run continues as we approach the year's last quarter."

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