Managed Futures Strategies Show Mixed Results In October
October was a mised month for the managed futures industry; Societe Generale's flagship SG CTA Index fell by -0.12% but the SG Trend Index ended the month up at +0.58%. Both Indexes are underwater for 2020, however, down -3.47% and -1.46% respectively.
The SG Short-Term traders index was down -0.36% but remains in the green for the year, taking advantage of choppy markets to produce positive returns so far.
Attribution data from the SG Trend Indicator clearly showed the reversal in equity markets was one of the hardest movements for CTAs to navigate, but that diversification in other markets helped many CTAs eke out positive performance. The trend indicator suggested gains in the bond sector and currencies, in particular upwards trends in European bonds, and currencies such as Mexican Peso and Japanese Yen vs. the US Dollar. Commodity markets were a mixed bag, with opportunities for trend-followers in certain, smaller markets, compared to a pull back in recent upwards momentum in Energy markets.
Tom Wrobel, Director of Alternative Investment Consulting, at Societe Generale Prime Services and Clearing, said:
“It was a month that split CTA performance, with initial gains eroded in the latter part of October, but with many still delivering positive performance and which highlights the variety of CTA strategies. Institutional investors continue to seek out non-correlated returns and are becoming more sophisticated in their understanding of CTA model time-frames and portfolio construction methodologies.”
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