Key Takeaways
- • Société Générale's SG CTA Index posted its best monthly return in more than five years, rising 5.54% in December 2020 and finishing 2020 up 3.12%, according to SocGen.
- • All 20 constituents of the SG CTA Index recorded positive performance in 2020, with individual returns ranging from 1% to 16% across trend, non-trend and short-term strategies.
- • The SG Trend Index, tracking the 10 largest trend-following CTAs, gained 6.55% in December and finished 2020 up 6.24%.
- • Short-Term Traders Index returned around 3% for 2020 after a 0.62% December gain, with SocGen noting a lower magnitude of performance than trend-followers.
- • December gains were driven by US dollar weakness, continued equity market momentum, and strong trends in agricultural and energy markets.
Summary
Trend-following hedge funds and managed futures strategies finished 2020 strongly after a turbulent and unpredictable year for the sector. According to Société Générale, its CTA indices ended the year in positive territory following robust December performances.
The SG CTA Index, a daily snapshot of 20 of the largest managed futures strategies, advanced 5.54% in December, its best monthly return in more than five years, and rose 3.12% for 2020. SocGen said all 20 constituents posted positive performance, with trend-following strategies leading and individual returns ranging from 1% to 16% across trend, non-trend and short-term strategies.
The SG Trend Index, an equally weighted barometer of the 10 largest trend-following CTAs, rose 6.55% in December and finished the year up 6.24%. Short-term CTA returns were almost uniformly positive for the month but showed a lower magnitude of performance than trend-following funds. SocGen's Short-Term Traders Index, which tracks CTAs and global macro managers with 10-day trading windows, returned around 3% for the year after a 0.62% gain in December.
December's market moves favoured CTA strategies as managers took profits across commodities, currencies and equity indices. US dollar weakness underpinned the advance, with major currencies strengthening against the dollar, while stock market momentum continued and strong trends in agricultural and energy markets aided commodities indices.
Tom Wrobel, director of capital consulting at Société Générale Prime Services and Clearing, said CTAs "closed an extraordinary year in spectacular fashion," answering critics who had questioned whether trend-following was again "dead" during a year of uncertainty. He added that December's performance came from a variety of strategies and asset classes, justifying continued institutional investor belief that CTAs have a place in a diversified portfolio.
The SG CTA Index, a daily snapshot of 20 of the largest managed futures strategies, advanced 5.54% in December, its best monthly return in more than five years, and rose 3.12% for 2020. SocGen said all 20 constituents posted positive performance, with trend-following strategies leading and individual returns ranging from 1% to 16% across trend, non-trend and short-term strategies.
The SG Trend Index, an equally weighted barometer of the 10 largest trend-following CTAs, rose 6.55% in December and finished the year up 6.24%. Short-term CTA returns were almost uniformly positive for the month but showed a lower magnitude of performance than trend-following funds. SocGen's Short-Term Traders Index, which tracks CTAs and global macro managers with 10-day trading windows, returned around 3% for the year after a 0.62% gain in December.
December's market moves favoured CTA strategies as managers took profits across commodities, currencies and equity indices. US dollar weakness underpinned the advance, with major currencies strengthening against the dollar, while stock market momentum continued and strong trends in agricultural and energy markets aided commodities indices.
Tom Wrobel, director of capital consulting at Société Générale Prime Services and Clearing, said CTAs "closed an extraordinary year in spectacular fashion," answering critics who had questioned whether trend-following was again "dead" during a year of uncertainty. He added that December's performance came from a variety of strategies and asset classes, justifying continued institutional investor belief that CTAs have a place in a diversified portfolio.
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