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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.”

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