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Societe Generale: Managed Futures Off Again In October

After a difficult September, where the SG CTA Index fell -3.21%, October provided more gloom for managed futures strategies, with the SG CTA Index closing the month at -2.41% as difficult market conditions continued in October. 2019 year-to-date CTAs are still in positive territory at +5.98%, helped by earlier gains from trend following strategies and an uptick from more fundamentally driven quantitative macro strategies in October. Trend followers suffered a dip in performance and were down by -4.16%, but are still +8.92% to the good in 2019 overall.

Attribution data from the SG Trend Indicator showed that whilst trend followers were down in October, performance was mixed among sectors. The currency sector was the biggest loser and contributed negative performance of -3.05% as the US dollar pulled back against the upward trend. The equity market’s upward momentum continued, contributing +1.23% performance at the portfolio level. However, bond markets and commodities were more mixed, with only precious metals (gold and silver) showing clear direction as they recovered their upward trends.

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

 “CTAs have given back some of this year’s gains in September and October, with trend followers being the worst affected, but 2019 has still been a very positive year for CTAs thus far. We will continue to observe if their performance continues to dip or if there is a reversal as we approach the year end.”

The SG Short Term Traders Index fared better, coming in with a minor adjustment to the downside at -0.14%.