Societe Generale Prime Services has released the August 2017 performance data for its SG CTA indices, which reveal that following a challenging first half of the year, CTAs continued their upwards trajectory, with their second positive month, up +2.07% in August. The developments in H2 are taking CTAs almost back into positive territory. The SG CTA Mutual Index was also up +0.83% in August and back to flat year to date.
The returns were primarily driven by trend following, the SG Trend Index was the biggest winner, up 2.61%, although some individual CTA returns were higher. Short term trading strategies had a very mixed month, as the individual constituent CTA returns ranged from almost -5% to +6% for August.
The constituents of the Trend Index outperformed the SG Trend Indicator by over 4% in August. There were significant moves in the bond sector which the Trend Indicator’s model was not positioned to capture, suffering from a series of losing “whipsaw” trades, but which may have resulted in positive returns for CTAs.
The Trend Indicator performance attribution data also revealed that currency moves went against established trends and these markets were difficult, losing -1.74% at the portfolio level. Furthermore, a number of upward trends in equity indices slowed or reverted in August, contributing very little to the portfolio.
Tom Wrobel, Director, Alternative Investments Consulting, at Societe Generale Prime Services, said: “CTA performance continued to improve in August, and combined with an uptick in July have now returned +2.82% in the second half of 2017. Trend following strategies in particular were able to benefit from market moves in August and outperformed the Trend Indicator, which was not positioned to capture fluctuations in bond markets. These moves were also favourable for a number of non-trend CTA strategies which were able to post positive returns in August, but on average the Short Term Traders Index was down for the month.”