| 07.11.2020 CTA performance remains resilient in October |
| Opalesque Industry Update -
_________________________Oct-20___ YTD CTA performance was resilient in October 2020 in a month when equity markets slipped again to a second consecutive loss. Trend-following CTAs led performance, with the SG Trend Index finishing the month up slightly 0.58%, versus the main CTA Index which was approximately flat -0.12%. Both indices had accrued single-digit gains mid-month before a weaker period at the close. Shorter-term CTA strategies continued their mixed performance, the Short-term Traders Index finished October again down slightly -0.36%, but individual CTA program returns were varied: half positive and half negative. The same was true of other CTA styles, with a range of performance amongst trend-followers, and non-trend strategies as well. Attribution data from the SG Trend Indicator clearly showed the reversal in equity markets was one of the hardest movements for CTAs to navigate, but that diversification in other markets helped many CTAs eke out positive performance. The trend indicator suggested gains in the bond sector and currencies, in particular upwards trends in European bonds, and currencies such as Mexican Peso and Japanese Yen vs. the US Dollar. Commodity markets were a mixed bag, with opportunities for trend-followers in certain, smaller markets, compared to a pullback in recent upwards momentum in Energy markets. Tom Wrobel, Director of Alternative Investment Consulting, at Societe Generale Prime Services and Clearing, said: "It was a month that split CTA performance, with initial gains eroded in the latter part of October, but with many still delivering positive performance and which highlights the variety of CTA strategies. Institutional investors continue to seek out non-correlated returns and are becoming more sophisticated in their understanding of CTA model time-frames and portfolio construction methodologies."
Press release |