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Short Term CTAs Turn In Positive Performance In February

Short-Term CTAs rode February's market volatility very well to end the month in positive territory. The SG Short-Term Traders Index ended last month up +0.90%, padding year to date gains to +3.54%. SG's other managed futures indexes were down, however, including the flagship SG CTA Index, which was off -1.50% in February. Whilst CTAs got off to a strong start last month (the SG CTA index was up mid-month around 4% and the SG Trend Index was up 5%), market volatility eroded these gains to end the month slightly down. The index is down -0.68% year to date.

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

“Whilst the gains made in the first two months of the year have been impacted by market reversals, CTAs continued to demonstrate their diversified portfolio construction, and many were able to take advantage of volatile markets. This demonstrates the resilience of CTA strategies amidst market volatility, and the opportunity for many strategies to make gains.”

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