CTA performance dips marginally as trends pull back Tue, 08/10/2019 - 09:38 Tags : Results & performance Following a period of strong performance, CTAs gave back some of August’s gains in September, closing the month at -3.21 per cent, but the YTD figure is still up by +8.75 per cent. Trend followers were hit the most, down -5.27 per cent, whilst short-term CTAs limited losses to -1.27 per cent, however, both remain in positive territory YTD. The CTA index’s quantitative macro constituents proved their differences in September, contributing positive performance for CTAs against trend followers. Attribution data from the SG Trend Indicator showed that trend followers struggled in all sectors, with losses in commodities, fixed income and equity indices. Losses were from a combination of pull backs in trends and choppiness in other markets with no clear direction. Meanwhile, several markets did still contribute positive performance, the strongest being Euro versus the US Dollar, which continued downwards and resulted in gains of +0.39 per cent at the portfolio level. This downward trend has now been in position for over 500 days, contributing +2.39 per cent YTD. Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services and Clearing, says: “Despite the slight dip in September, CTA performance remains positive and on track for a very strong year. It will be interesting to observe if CTAs can continue to generate positive returns, and the different positioning of trend followers vs other non-trend strategies.”