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Trend Following Continues Strong Start To 2021

Trend-following managed futures strategies padded their 2021 gains last month with the SG Trend Index, published by Societe Generale Prime Services and Clearing, adding +2.83% to bring year to date returns to +6.91%. All ten of the trend-follower constituents in the Trend index recorded individual gains in April. Attribution data from the SG Trend Indicator explains that trend-followers benefitted from sustained upwards movements in equity markets and commodities, where long positions contributed the majority of gains in April. Movements in other sectors were less uniform: although currencies contributed to losses, there were gains from commodity currencies, and European bonds reverted less against the established down trend than US markets.

The headline SG CTA Index added +3.02% to bring year to date performance to +5.63% and short term traders made small gains, up +0.17% to bring 2021 returns to +2.15%.

“The continued momentum in CTA performance is delivering exactly what institutional investors are hoping for, and it is exciting to see positive performance from a range of different CTA strategies: from classic trend-followers, to fundamental global macro, and new machine learning based programs," said Tom Wrobel, Director of Capital Consulting, at Societe Generale Prime Services and Clearing. "So far in 2021 we have observed a number of performance drivers, not just one market or sector, and we shall continue to closely monitor how the environment for CTAs plays out for the rest of the year.”

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