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Tom Wrobel, Societe Generale

CTA performance impacted by changing market conditions


Following a marginal uptick in April, Societe Generale Prime Services’ SG CTA Index moved into negative territory in May, down 2.41 per cent for the month, despite being up mid-month.

Trend followers were the main drivers of losses in the second half of the month, and were down 2.72 per cent. Short-term CTA strategies handled the changing market conditions relatively well and ended May up +0.39 per cent.
 
The SG Trend Indicator had a difficult period and was down 3.50 per cent, leading to a reading of 13.30 per cent for the first five months of this year. Following a recovery in April, equity indices contributed to negative performance, and the commodities and currencies sectors took a dip as well. Meanwhile, the bond market provided some relief as it was the only sector to post a positive contribution, up +0.09 per cent, just holding on to gains despite a mid-month reversal.
 
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “Clearly, trend-followers have had a difficult month and were particularly hit in the second half of May. Trend models have been challenged by a combination of sharp moves in the global markets, choppy trading and political events. On the other hand, short-term CTA strategies fared slightly better. We will observe whether these dynamics continue in the coming months as market conditions change.” 

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