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Managed Futures Strategies Return To Gains In November

Societe Generale Prime Services and Clearing's family of CTA indices recorded gains in November as global markets rallied, with the broad-based SG CTA Index ending up +1.27%, and SG Trend index positive +1.18%, bringing it back to nearly flat for the year. Nearly all CTAs, across trend and non-trend strategies, recorded positive performance for the month; three quarters of CTA programs were in the black, and a maximum return of nearly +7%.

Short-term CTAs also closed the month in positive territory, up +0.52%, to end a series of consecutive losing months and continue to lead performance year-to-date at +2.35%. Performance for shorter-term CTAs was however more mixed, with only six out of the ten index constituents posting positive returns in November, but with some large positive returns amongst the group in excess of +5%.

Gains for trend-followers were attributed to three main sources in the SG Trend Indictor; firstly, currency strength vs US Dollar weakness, as all long positions across major currencies profited from recent momentum to contribute +4.02% at the portfolio level. Secondly, Equity markets also contributed +1.08% as many upward trends continued and many indices reach new all-time highs; and finally selected Commodity markets such as Gold which benefited from market trends.

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

“It was fantastic to see CTAs record strong performance in a month when COVID vaccine news, and the resolution of US political uncertainty, buoyed many markets to record levels. Many CTAs, be they trend-followers, shorter-term, or non-trend such as fundamental quantitative macro programs, were able to adapt well to the new environment and benefit from market movements. CTAs have now delivered performance on the downside and the upside, but the coming months will be critical to cement a positive year and look forward to how institutional investors may be positioning their portfolio as business resumes in a more normal fashion.”


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