SG CTA Indices: CTA Performance Improves Marginally in April

The SG CTA Index posted a slightly positive return of +0.08% in April as market conditions improved but remained uncertain. Trend followers slightly outperformed other strategies, ending up +0.41%, and short-term strategies also delivered positive performance as the Short-Term Traders Index was up +0.20%.

According to the SG Trend Indicator, the performance of trend followers was driven by the energy complex, bonds, currencies, and equity indices. Whilst the upward trend in energy markets continued and contributed +1.37% to the portfolio, the US bond markets also continued their downward trend. The US Dollar strengthened against the existing downward trend causing losses in many currency markets.

Following a challenging February and mixed performance in March, it is encouraging to see CTAs post a slightly positive return in April.

Tom Wrobel Director of Alternative Investments Consulting, Societe Generale Prime Services

Meanwhile, equity markets reverted to recover much of their earlier losses for the year. The resulting impact at a portfolio level depended on a trend-follower’s model time-frame; the markets would have contributed losses for the month if the model had switched to a short position.

Tom Wrobel, Director of Alternative Investments Consulting, at Societe Generale Prime Services, said:

“Following a challenging February and mixed performance in March, it is encouraging to see CTAs post a slightly positive return in April. Trend followers were in positive territory by the end of the month. Also, as equity markets recovered, it was interesting to note the differences in trend-following returns, which is a function of their model timeframe. We will keenly observe how the continued market uncertainty impacts the performance going forward.”

+0.08%

SG CTA Index – April 2018

-0.46%

SG CTAM Index – April 2018

+0.41%

SG Trend Index – April 2018

+0.20%

SG STTI – April 2018

-0.43%

SG Trend Indicator – April 2018