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CTAs end 2016 with positive returns in December

Saturday, January 07, 2017
Opalesque Industry Update - Societe Generale Prime Services announces the December 2016 and full year performance data for its SG CTA indices.

All SG CTA indices posted positive returns in the last month of 2016, at the end of an otherwise difficult quarter. The flagship SG CTA Index closed the year slightly negative -2.86% and SG Trend Index -6.19%, the first negative year's performance since 2012.

Short term traders faired marginally better, in positive territory at the end of 2016 at +0.31%. The SG CTA Mutual Fund Index completed its first year of live performance in 2016, down -5.45%, in line with returns of the SG CTA Index: with a correlation of 0.96.

The SG Trend Indicator showed that Trend-followers benefitted from long trends in equity indices and currency (US Dollar crosses) sectors in December (+3.38% and +2.11% respectively). In particular long positions in European equity markets, and US Dollar vs. Asian currencies, were the main contributors to positive performance.

Other sectors were more mixed, but bonds remained the largest contributor to positive performance for the year 2016, followed by equity indices (7.92% and 3.99% respectively). The commodity sector closed the year down -9.92%, with challenging conditions for trend followers in the majority of commodity markets.

om Wrobel, Director of Alternative Investments Consulting at Societe Generale Prime Services, said: "Whilst the pickup in performance in December will have been welcomed by many CTAs and institutional investors, it was not enough for the SG CTA Index to end the year in the black. Out of the 20 CTA Index constituents, 7 posted positive performance at the end of 2016. Throughout the year, CTAs benefitted from trends in bond markets, which will be an interesting sector to watch in 2017; whilst commodity markets were very challenging. Short term traders fared best in 2016, with an equal split of positive and negative constituent returns, and a number of strong individual performers. It is important to remember how CTAs performed during 2016 events, especially their strong performance after the Brexit vote, demonstrating the important diversifying role that CTAs play in a portfolio."

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