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Managed Futures Strategies Continue 2021 Bull Run

Commodity Trading Advisors continued their positive performance in 2021 in October, as the SG CTA Index was up +2.56% for the month and now stands at +9.88% for 2021 – the best year-to-date performance since 2014. Trend-followers led performance and delivered a strong month with the SG Trend Index positive +3.11%, placing it at +13.95% for the year so far. 90% of all the individual CTAs in the CTA Index and Trend Index posted positive performance for the month, with a number of managers gaining over 5% in October.

Shorter-term CTAs also fared well in October. The SG Short-Term Traders Index was up +1.95%, and now stands at +2.30% year-to-date. Eight out of the ten index constituents delivered positive performance, with two again in excess of 5%.

Attribution data from the SG Trend Indicator attached gains for trend-followers to three core asset classes: short Bonds, long Equity indices and the Energy complex. Upwards trends in equities continued in October, and would likely have contributed to gains for CTAs, as well as the continuation of upwards Energy price moves. There were also opportunities for momentum trading in Bond markets, where new emerging downwards trends may have resulted in gains. Currencies were more challenging for trend-followers, with inconsistent markets moves for many currencies apart from Japanese Yen which significantly weakened vs the US dollar.

Tom Wrobel, Director of Capital Consulting, at Societe Generale Prime Services and Clearing, said:

“CTAs delivered another strong month in October, with many trend-following strategies well into double digit returns for the year so far. The key sectors for CTA performance appear to have been Commodities and Equities in 2021, but October also highlighted that all asset classes are important, with significant opportunities for trend-followers in Bonds, depending on individual model time-frames and portfolio construction approaches.

It was encouraging to see shorter-term CTAs also record a positive month, as institutional investor interest in CTAs remains high; and industry reports indicate that alongside multi-strategy funds, CTAs have enjoyed the largest capital inflows among major hedge fund strategies this year.”

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