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US Dollar and precious metals drive strong CTA performance in July

Monday, August 10, 2020
Opalesque Industry Update - Societe Generale Prime Services and Clearing has announced the July 2020 performance data for its SG CTA indices.


CTAs had a strong month of performance in July with all three SG CTA Indices returning positive numbers. July was the strongest month performance this year for both the SG CTA and Trend Indices. Trend Followers were the best performing CTAs in July with the SG Trend Index returning +3.07% while the SG CTA Index returned +2.57%.

Continued steady performance for the SG Short Term Traders Index (+0.57%) in July means it is still the best performing index year-to-date however the SG Trend Index is now again positive for the year +2.20% while the SG CTA Index has recovered from the negative performance in May/June to end July -0.18% year-to-date.

Attribution data from the SG Trend Indicator showed the continued emergence of several trends where CTA models benefited through July. Trades against the US dollar for a number of currencies proved profitable throughout the month as did the continued price rise in precious metals as gold hit all-time highs and silver continued to rally.

Alex Hill, Director of Alternative Investment Consulting, at Societe Generale Prime Services and Clearing, said:

"July was a strong month for CTA performance compared to the last couple of months. In contrast to the mixed equity market performance, strong trends against the US dollar and in precious commodities in July delivered gains with some managers returning high single digits for the month. Long bonds positions also added to performance. July was a great example of CTAs ability generate strong returns from a wide range of uncorrelated markets."

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