Following a frustrating period in June, three of the Societe Generale’s CTA indices posted positive performance in Jul, with the SG CTA index was up 0.73 per cent, but still down year to date at -2.74 per cent, the SG CTA Mutual Index meanwhile, up 1.61 per cent, making it the best performing index to date so far this year but still 0.85 per cent year to date.
Short term trading strategies had a mixed July, flat -0.08 per cent, and remain down 7.03 per cent year to date. Trend followers fared slightly better as the Trend Index outperformed at the end of July, up 1.28 per cent. The Trend Indicator performance was flat compared to the Trend Index.
Compared to June, the Trend Indicator attributed positive contributions from the currency sector, up 3.43 per cent primarily from downward trends in US Dollar. Furthermore, equity indices contributed 1.32 per cent to the portfolio as a result of established long-term upwards trends, with some markets approaching 500 days in position. The performance in the commodities and bond sector was more mixed, contributing -3.90 per cent and -0.96 per cent respectively with no clear trends emerging.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “The performance of CTA strategies improved in July compared to June, and trend followers made a modest gain. We observe that equity indices continued to be the main positive performance driver this year, long-term trends have contributed almost 10 per cent so far this year. It will be interesting to see if any clear trends emerge in other sectors in the next few months, and whether short-term strategies will benefit from market fluctuations.”
