Short-term trend-following hedge fund strategies are maintaining their positive momentum in May, but other managed futures strategies have dipped into negative territory in recent weeks.
Short-term trend-following hedge fund strategies are maintaining their positive momentum in May, but other managed futures strategies have dipped into negative territory in recent weeks.
New data from Société Générale shows that short-term trend-followers have risen 0.47 per cent so far this month. SocGen’s Short Term Index – which tracks the daily performance of a portfolio of CTAs and global macro managers trading a diversified range of strategies with a less than 10-day average holding period – is up 4.38 per cent year-to-date.
Short-term strategies proved to be particularly successful during Q1’s volatility, when managers here were able to capitalise on the sudden stock market reversal in March, taking further profits the following month amid prices falls in currencies and commodities.
On the flipside, though, other strategies within the trend-following hedge fund space have dipped slightly into the red so far in May.
SocGen’s main CTA Index – which measures the daily performance of a select pool of the largest trend-following funds – has lost 0.68 per cent so far this month.
The slide reverses April’s 0.24 per cent advance – which was driven by gains across quantitative macro, machine learning and trend following strategies – and leaves the index down 1 per cent since the start of 2020.
Elsewhere, SG Trend Index – a broader measure of the net daily gains of a pool of trend-following based hedge fund managers – lost 0.73 per cent this month, but remains up 1.71 per cent so far this year.
However, the SG Multi Alternative Risk Premia Index, which monitors performance of managers trading a broad range of assets – such as equities, bonds, currencies and more – using multiple risk premia factors including value, carry, and momentum, has fared less well.
Alternative risk premia hedge funds have dropped 1.69 per cent in May so far, SocGen’s data shows, and have tumbled more than 11 per cent to date in 2020.
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