CTA Index Performance Announcement: May
Price reversals in currencies and precious metals challenge CTAs as they post third negative month in a row
London 7th June 2016 -- Societe Generale Prime Services today announces the May performance data for its SG CTA indices.
After a strong start to 2016, CTAs have now completed their third consecutive month of negative performance. All five daily indices that SG Prime Services calculates were down in May. The flagship SG CTA Index, that measures a broad range of managed futures strategies, has now also dipped just below zero on year to date performance for the first time this year.
Short term trading strategies continue to be the best performers, with the SG Short Term Traders Index dipping to -0.93% in May, but still comfortably positive for the year so far, at 4.18%.
Attribution data from the SG Trend Indicator showed that the currency sector was the main contributor to negative portfolio returns, detracting -5.33%, due to predominantly short US Dollar positions making losses as the US Dollar rallied against most major currencies.
Other sectors were more varied, with bonds and equity indices contributing positive returns, compared to negative returns from commodities and interest rates. Precious metals were a particularly difficult sub-sector, as long gold and silver positions gave back their April gains, contributing a combined -1.48%.
James Skeggs, Global Head of Alternative Investments Consulting at Societe Generale Prime Services, said:
“Our indices show that the continued absence of consistent market trends is making it hard for managed futures strategies to consolidate gains – especially amongst trend followers.
“The high correlation of our Trend Indicator to the Trend Index gives a good idea of the markets that have been challenging for these strategies, and returns from currencies appear to have been particularly volatile.
“Some market watchers are starting to call a rally in commodity markets, and with the price of crude oil now bouncing back from its low point in January, we have seen the beginning of an energy trend with CTA strategies currently well positioned to extract returns from these markets in coming months.”
The SG CTA Index, which is equally weighted, calculates the daily rate of return for a group of the largest 20 CTAs that are willing to provide daily returns and are open to new investment.
The SG Trend Index, which is equally weighted, calculates the daily rate of return for a group of the largest 10 trend-following based CTAs that are willing to provide daily returns and are open to new investment.
The SG Trend Indicator is a market based performance indicator designed to have a high and stable correlation to the returns of trend following strategies.
The SG Short-Term Traders Index is designed to track the daily performance of a group of the largest 10 short-term, diversified CTAs that have a holding period shorter than 10 days, are willing to provide daily returns and are open to new investment. All three indices are rebalanced and reconstituted annually.
The SG CTA Mutual Fund Index, which is equally weighted, calculates the daily rate of return for a group of the largest 10 CTA Mutual Funds that are willing to provide daily returns and are open to new investment.
Societe Generale Prime Services is an innovator in providing investors with benchmarking tools that represent key hedge fund strategy styles. For further information regarding the calculation of the SG Prime Services indices please see www.sgcib.com.
Further information regarding the calculation of the SG Prime Services indices described herein, including a summary of the relevant index rules is available either online at www.sgcib.com or upon written request made to the Alternative Investments Consulting Team at Societe Generale Prime Services at the address stated in the document. The methodology used to calculate the SG Prime Services indices are based upon the index rules existing at this time and may be subject to change in the future. SG Prime Services indices are benchmarks made available for information only and may not be disclosed to, reproduced or used or relied upon by any other person or entity or used for any other purpose without the prior written consent of Societe Generale Prime Services.