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Tom Wrobel, Societe Generale

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Losses in bonds, currencies and commodities drag CTA performance in July

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Following a marginal uptick in performance in June, CTAs faced headwinds again in July with all of Societe Generale Prime Services’ SG CTA indices posting negative returns.

Although the performance was up in the first half of the month, conditions became challenging in the second half. The CTA Index was up 1.44 per cent and the Trend Index up 2.24 per cent mid-month, however by the end, performance was down 0.71 per cent and 0.81 per cent respectively.
 
Performance was dispersed as five out of 20 constituent managers in the CTA index posted marginally positive returns. In particular, it was a disappointing end of July for trend followers despite a good start to the month, due to losses in bonds, currencies, and commodities at the end. 
 
The upward trend in equity indices was the main contributor to positive performance, as well as short positions from selected commodities such as gold and silver. Losses were primarily driven by reversals in bonds, with downward moves against the established upward trend, and US dollar volatility.
 
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “Despite a marginally positive start to the month, the end of July has been a difficult period for CTAs which has impacted their performance. Whilst the upward trend in equity indices provided a tailwind, it was offset by the losses in bonds, currencies and commodities. We will watch closely how CTA performance continues this year, and how different CTA strategies navigate the evolving market environment.”

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