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Trend Followers Up Slightly In August As Short Term Traders Pull Back

Managed futures trading strategies delivered a mixed month in August; the SG Trend Index from Societe Generale Prime Services and Clearing was up +0.44% in August to pad its year to date gains to +8.50%, whilst the SG Short-Term Traders Index pulled back -1.33% for a year to date return of just +0.19%. Eight out of the 10 Individual short-term CTA managers which make up the index posted negative performance at the end of the month, with only small gains from the remaining two.

Performance attribution data from the SG Trend Indicator implied that trend-followers would likely have benefited from continued upward trends in equity markets, where trend-following models have been positioned long for more than a year in some markets and US indices reached new all-time highs. Other sectors provided more challenging conditions, moves in currencies vs the US dollar may have provided opportunities depending on CTA model time frames, but Bonds and Commodities contributed to negative performance at the portfolio level as they moved sideways without clear direction.

The flagship, more broad-based SG CTA Index was down -0.29% last month but is still up +6.51% in 2021 thus far.

“CTAs have delivered robust performance so far this year and continue to gain traction with institutional investors. The month of August provided a slightly more challenging environment for many CTAs, but opportunities were still present across different markets and time frames, and positive performance from selected CTA managers is testament to the broad spectrum of CTA strategies which exist and their multi-asset approach. We will continue to monitor the performance of all CTA strategies and asset classes as the market environment develops," said Tom Wrobel, Director of Capital Consulting at Societe Generale Prime Services and Clearing.

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