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CTAs score in Brexit upheaval

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Societe Generale Prime Services’ CTA Indices have reported positive performance for CTA managers in the two full days of trading after the referendum results – Friday 24 June and Monday 27 June. 

The firm writes that in the immediate aftermath of the result on Friday, when falling markets were causing concern for many investors, 90 per cent of the programs tracked by the SG CTA Index had posted positive returns by the end of the day, and 80 per cent of Short Term Traders were positive. The strong performance continued into this week, with 75 per cent of SG CTA Index constituents and 70 per cent of Short Term Traders posting positive performance on Monday.
 
This returns the SG CTA Index to positive territory, up 2.81 per cent YTD. Short Term Trading strategies lead performance YTD, up 6.26 per cent.
 
James Skeggs, Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “CTA strategies have weathered the first two days of uncertain markets following the EU referendum results very well, benefiting from diversification across asset classes and positioning. Investors in these strategies will be feeling reassured that they have delivered non-correlated returns during this challenging period. In particular, short term strategies have performed well so far this year, and ongoing market movements could see these strategies well positioned to take advantage of market volatility in the coming period.”

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