CTAs on track to finish October with a flourish

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CTAs on track to finish October with a flourish

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CTAs and trend-following hedge funds have strengthened their returns as October draws to a close, with recent gains pushing the sub-sector’s year-to-date returns further into double-digit territory.

With just two months left until the end of 2021, Société Générale’s main broad-based CTA Index – a key industry benchmark tracking the daily returns of a pool of 20 of the largest CTAs – is now up 10.56 per cent for the year, having gained 3.20 per cent since the start of this month.

Managed futures funds have continued to thrive on strong directional signals across commodities and currencies, with recent surges in oil and gas prices helping managers extend September’s 0.58 per cent rise. Earlier, the sub-strategy had endured what SocGen earlier described as a “challenging environment” during August, when CTAs slipped 0.29 per cent.

Trend-following hedge funds have fared even better in recent weeks. SocGen’s SG Trend Index – a daily return index measuring the performances 10 of the biggest trend-following managers – is up almost four per cent in October. That advance – almost double the 1.85 per cent return made in September – has pushed year-to-date returns for trend-followers up to some 14.8 per cent overall.

Meanwhile, short-term CTAs – which have struggled to notch up meaningful returns lately thanks to the recent global stock market reversal and renewed volatility stemming from inflationary pressures – are set to end this month on a surer footing. 

The SG Short Term Traders Index, which ended September largely flat at 0.15 per cent as a result of uneven market momentum, has added 2 per cent so far this month. The benchmark, which provides a returns snapshot of CTAs and global macro managers with 10-day trading windows, is now up 2.35 per cent since the start of January. 

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Hugh Leask
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Editor, Hedgeweek