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Alternative Market Briefing

CTAs lost 2.41% in October but still in positive territory with +5.98% YTD

Monday, November 11, 2019

Laxman Pai, Opalesque Asia:

The Societe General CTA Index closed October at -2.41 percent as difficult market conditions continued in October, following a challenging September.

CTAs are still in positive territory at +5.98 percent YTD, helped by earlier gains from trend following strategies and an uptick from more fundamentally driven quantitative macro strategies in October.

According to the report from Societe Generale Prime Services and Clearing, the trend followers suffered a dip in performance and were down by -4.16 percent, meanwhile, short-term CTAs posted a marginally positive performance and were more reactive to market movements.

Attribution data from the SG Trend Indicator showed that whilst trend followers were down in October, the performance was mixed among sectors.

The currency sector was the biggest loser and contributed to the negative performance of -3.05 percent as the US dollar pulled back against the upward trend. The equity market's upward momentum continued, contributing +1.23 percent performance at the portfolio level.

However, bond markets and commodities were more mixed, with only precious metals (gold and silver) showing clear direction as they recovered their upward trends.

"CTAs have given back some of this year's gains in September and October, with trend followers being the worst affected, but 2019 has still been a very positive year for CTAs thus far. We will continue to observe if their performance continues to dip or i......................

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