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CTAs finish negative Q3 with muted performance in September

Wednesday, October 12, 2016
Opalesque Industry Update - Societe Generale Prime Services today announces the September and full Q3 performance data for its SG CTA indices and shares its year to date performance review.

September continued to be a difficult month for CTA strategies, with the flagship SG CTA Index entering negative territory for the first full quarter since Q2 2015, and ended the month down -1.20%. All of SG's managed futures indices had negative performance in September, with the SG Trend Index down -1.93%. The SG CTA Index continues to lead performance year to date however, and is still in the black at 0.95%, followed by the SG Short Term Traders Index up 0.59%.

Attribution data from the SG Trend Indicator showed a mixed contribution to performance from different asset classes. Equity indices and Currencies contributed to positive returns - at 0.45% and 0.25% respectively - benefitting from a variety of directional positions across markets. In contrast the Commodities, Bonds and Interest rates sectors contributed -0.65%, -0.23%, and -0.08%. Despite challenges in the Bond sector, the asset class remains the top contributor to year to date performance, at 6.78%.

Tom Wrobel, Director of Alternative Investments Consulting at Societe Generale Prime Services, said:

"CTAs have had a strong run of performance, the third quarter of 2016 is the first negative quarter since Q2 2015, and this has been reflected in a corresponding uptick in interest from institutional investors. Trend following strategies have faced difficult market conditions, but currently have a high degree of position diversification, with both long and short positions within all asset classes. Year to date there are still positive figures, and we will look for a turnaround in Q4."

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