Societe Generale: Managed Futures See Strong July
Following a strong June, CTAs continued to make gains and reported positive performance in July too. The SG CTA Index was up +3.53%, adding to gains of +8.49% YTD. Trend followers continued to lead performance, as the SG Trend Index was up +4.84% and now stands in double digits at +12.63% YTD. In fact, it has been in positive territory for five out of seven months this year.
Trend followers continued to benefit from upwards trends in bonds, which contributed +0.63% in July, and have resulted in gains of +12.21% YTD. Trends in currencies, mainly long US Dollar, also provided tailwinds as they contributed +2.70% at the portfolio level. In addition, equity indices contributed small gains, as markets rallied slightly in direction with established upward trends which had slowed down recently.
SG Director of Alternative Investments Consulting Tom Wrobel said:
“It is very encouraging to see that CTAs are enjoying a positive period, particularly trend following strategies, which have had a good year thus far. We will monitor if trends in bonds and currencies continue to provide performance in the second half of the year, as well as looking for new trends to emerge.”