Key Takeaways
- • Société Générale's SG CTA Index rose 2.55% in Q1 2021, tracking 20 of the largest managed futures hedge funds, with March adding 0.90%.
- • The SG Trend Index, covering the 10 biggest trend-following managers, gained 3.97% in Q1 2021, outperforming for a second consecutive month in March with a 1.09% return.
- • The SG Short-Term Traders Index, covering CTAs and global macro managers with 10-day trading windows, returned 1.98% in Q1 2021.
- • Trend-followers benefited from upward moves in equity indices and, to a lesser degree, the US dollar, while bonds and commodities were patchy.
- • Tom Wrobel of Société Générale Prime Services and Clearing called the quarter a "strong first quarter" and said all CTA strategies had delivered positive returns so far in 2021.
Summary
Managed futures hedge funds finished the first quarter of 2021 in positive territory, according to Société Générale's CTA and trend-following indices. Each of the bank's three main CTA and trend-following indices posted gains in March. Tom Wrobel, director of capital consulting at Société Générale Prime Services and Clearing in London, described the period as a "strong first quarter" for the sector.
The SG CTA Index, which tracks the daily performance of 20 of the largest managed futures hedge funds, advanced 2.55% in the first quarter. It added 0.90% in March, following a 2.88% rise in February that reversed a 1.14% decline in January. SocGen noted that two-thirds of the CTAs in the broader index recorded gains in March.
Trend-following strategies led performance. The SG Trend Index, which follows the 10 biggest trend-following managers, added 1.09% in March after a 3.64% gain in February. It had dropped 0.75% in January, leaving it up 3.97% at the end of the quarter. Eight of its ten constituents posted gains in March. According to SocGen, trend-followers capitalized on upward trends in equity indices and, to a lesser extent, the US dollar.
Shorter-term strategies also ended the quarter positive. The SG Short-Term Traders Index, which covers CTAs and global macro managers with 10-day trading windows, gained 0.51% in March and 1.98% for Q1. It had rebounded 3.13% in February after losing 1.59% in a "difficult" January. Performance among individual managers in this group was mixed, with the index split evenly between gainers and decliners, though some strong gains lifted the average.
Bonds and commodities were less supportive. The decline in US government bonds added to returns, while non-US bond movements stalled and disrupted performance. Choppy commodity markets, where some trends persisted and others reversed, unsettled CTA positioning.
Wrobel said the performance "continue[d] from 2020 after a minor setback in January," adding that the strategies were "fully deserving the attention they are receiving from institutional investors." He added that SocGen would continue to monitor the diversity of trend-following performance drivers across sectors.
The SG CTA Index, which tracks the daily performance of 20 of the largest managed futures hedge funds, advanced 2.55% in the first quarter. It added 0.90% in March, following a 2.88% rise in February that reversed a 1.14% decline in January. SocGen noted that two-thirds of the CTAs in the broader index recorded gains in March.
Trend-following strategies led performance. The SG Trend Index, which follows the 10 biggest trend-following managers, added 1.09% in March after a 3.64% gain in February. It had dropped 0.75% in January, leaving it up 3.97% at the end of the quarter. Eight of its ten constituents posted gains in March. According to SocGen, trend-followers capitalized on upward trends in equity indices and, to a lesser extent, the US dollar.
Shorter-term strategies also ended the quarter positive. The SG Short-Term Traders Index, which covers CTAs and global macro managers with 10-day trading windows, gained 0.51% in March and 1.98% for Q1. It had rebounded 3.13% in February after losing 1.59% in a "difficult" January. Performance among individual managers in this group was mixed, with the index split evenly between gainers and decliners, though some strong gains lifted the average.
Bonds and commodities were less supportive. The decline in US government bonds added to returns, while non-US bond movements stalled and disrupted performance. Choppy commodity markets, where some trends persisted and others reversed, unsettled CTA positioning.
Wrobel said the performance "continue[d] from 2020 after a minor setback in January," adding that the strategies were "fully deserving the attention they are receiving from institutional investors." He added that SocGen would continue to monitor the diversity of trend-following performance drivers across sectors.
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