Following a strong start to the year, February has been challenging for CTAs, with all Societe Generale CTA Indices finishing the month in negative territory.
The Short-Term Traders Index was down 4.29 per cent but remains positive YTD, up 1.19 per cent. Conditions were particularly difficult for trend-followers which were down 8.96 per cent, the worst monthly return since 2003 and the third worst since the inception in 2000. The Trend Index outperformed the Trend Indicator by 2.30 per cent in February.
The upward trends in Equity indices experienced steep reversals, leading to losses of 5.47 per cent in February and posting negative contributions YTD. The correction of equity markets may have led to position changes from Long to Short as markets became volatile. The Currency sector also experienced losses as the US Dollar strengthened against many currencies, losing 4.47 per cent at the portfolio level. This was a reversal of the previously established downward trends. Meanwhile, Fixed Income markets provided some relief, with gains from persisting downward trends despite the volatility in other markets, particularly the US Bond complex.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “Clearly, CTAs have had a difficult February and trend followers were particularly hard hit at the beginning of the month. The recent market movements have led to uncertainty and as a result many CTAs gave back their performance following a strong period in January. As the month continued many trend-followers recovered slightly and some non-trend strategies posted positive performance, so it will be interesting to observe how CTAs react to the changing market conditions going forwards.”
