SG CTA Indices: Performance dips in September

Originally published on 09 October 2017

Societe Generale Prime Services has announced the September 2017 performance data for its SG CTA indices. Following steady gains in July and August, CTAs faced difficult conditions in September as all the indices moved into negative territory. It has been a particularly challenging month for trend-followers as the SG Trend Index underperformed others, down -3.06%, compared to the Short-Term Traders Index (STTI) which was flat for the month -0.14%.
The performance of non-trend and short term strategies was marginally better: 4 out of the 7 non-trend constituent programmes of the CTA index contributed positive performance in September. Also, 4 of the 10 STTI constituents posted positive returns.
The performance attribution data from the SG Trend Indicator reveals that conditions for trend-following were difficult in all asset classes, with negative contributions from every sector. The worst performing sectors were Bonds, Commodities, and Equity Indices; contributing -2.78%, -2.75%, and -1.28% respectively. The upward equity trends which were the primary driver of returns during the first half of 2017 continued to slow in September, and the portfolio is now positioned short in 1/3 of equity markets.
However, despite negative contributions, the performance within each sector was mixed between markets and there was at least one positive contribution from a market in each sector. The biggest winner during September was a sustained upward trend in the British Pound vs US Dollar, contributing +0.96% at the portfolio level.
Tom Wrobel, Director of Alternative Investments Consulting, at Societe Generale Prime Services, said: “After a promising summer, September was a disappointing month with particular difficulties for trend followers. Despite a slowdown in the upward trends in equity markets, which were the primary return driver during the first half of the year, CTAs remain diversified across asset classes and markets. It will now be interesting to see if the positive contribution in the British Pound vs US Dollar continues, and how new trends begin to emerge in other markets.”