Trend Followers End 2020 With A Bang
Managed futures trend-following strategies ended 2020 with their strongest month of the year, by a considerable distance. The Societe Generale Prime Services and Clearing SG Trend Index - an equal-weighted index of ten large CTAs which employ trend-following as the source of returns - delivered returns of +6.55% in December, pulling the index out of the red to finish 2020 at +6.24%. The most uniform trends were US dollar weakness, with continued strength in all major currencies vs. the US dollar, and a continuation of the upwards momentum in Equity markets. Within the commodities sector there were consistent opportunities in a variety of markets, from agriculturals to energy.
The firm's flagship SG CTA Index - consisting of twenty managed futures programs - also posted strong gains in December at +5.54% for the month to end the year at +3.12%. The SG Short-Term Traders index - which had, until December, been the year's best performing index - was up marginally in December, +0.62% for full year gains of +2.99%.
Tom Wrobel, Director of Capital Consulting, at Societe Generale Prime Services and Clearing, said:
“CTAs closed an extraordinary year in spectacular fashion; cementing gains across all different CTA strategies in 2020, and answering critics questions whether trend-following was again ‘dead’ in a year full of uncertainty. Performance in December came from a variety of different strategies and asset classes, typifying the rich variety in the CTA industry, and justifying the continued institutional investor belief that CTAs have a place in a truly diversified portfolio. We will continue to monitor the CTA industry for new themes and innovation, as business resumes in a more normal fashion in 2021.”
© The Sortino Group Ltd
All Rights Reserved. No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or scanning or otherwise, except under the terms of the Copyright, Designs and Patents Act 1988 or under the terms of a licence issued by the Copyright Licensing Agency or other Reprographic Rights Organisation, without the written permission of the publisher. For more information about reprints from AlphaWeek, click here.