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CTAs resilient in March markets crisis

Monday, April 06, 2020
Opalesque Industry Update - Societe Generale Prime Services and Clearing announceds the March 2020 performance data for its SG CTA indices.

CTAs were able to deliver positive performance in March as global markets crashed. All the SG CTA indices were up in March; the SG CTA Index closed the month +0.09%, and SG Trend Index up +1.82% as trend-followers led performance and are now up +2.29% year-to-date (YTD).

As many equity markets booked their worst quarter in recent history, many CTAs are in positive territory. Short-term CTAs finished March positive +0.72% on average, building on gains in January and February, and are now the best performing CTA strategy in 2020: up +3.99%.

Trend-following strategies benefitted from a variety of moves, primarily in Commodities where the Energy sector's downward momentum increased. There were also trends in Currencies, in particular the Commodity currencies vs. US dollar, and Bonds. The reversal in Equity indices made these markets harder to navigate for trend-following strategies, but by the end of March it was likely that many CTAs had reduced their positions or switched direction.

Tom Wrobel, Director of Capital Consulting, at Societe Generale Prime Services and Clearing, said: "Market moves in March were on an unprecedented scale as the world reacted to the growing threat and impact of COVID-19, but it was re-assuring to see CTAs weather the storm and all the CTA indices positive. CTAs once again demonstrated their non-correlated performance, and historic ability to generate 'crisis alpha'. The increasing interest by institutional investors in CTAs has been justified, with over half of the individual CTA program constituents of our indices posting positive performance in March, and we will closely monitor both performance and growing demand for CTAs as 2020 continues."

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