Key Takeaways
- • Trend-following hedge funds tracked by Societe Generale posted an average return of approximately 0.7% in September 2024, with performance across the 96-fund sample ranging from +7.41% to -15.77%.
- • Gold and Robusta coffee futures were the primary performance drivers in September, with gold advancing nearly 30% year-to-date and hitting a record high on September 26, while Brazilian drought conditions propelled coffee futures to new peaks.
- • More than half of the trend-following funds in Societe Generale's tracking universe generated positive September returns, benefiting from a confluence of record commodity prices, rising equities, and declining interest rates.
- • Drag positions throughout 2024 included the Australian dollar (despite September strength), Mexican peso, silver, and natural gas; newly initiated long positions in late September spanned Hang Seng equities, sugar, silver, lean hogs, and German and Spanish stock indices.
Summary
Trend-following hedge funds delivered modest positive returns in September 2024, driven primarily by strength in precious metals and agricultural commodities. According to Societe Generale's analysis of 96 trend-following funds released on Tuesday, the strategy class averaged approximately 0.7% returns for the month, with individual fund results spanning a wide range from +7.41% to -15.77%. More than half of the tracked funds posted gains, reflecting broad-based tailwinds from macroeconomic conditions favorable to momentum-based strategies.
Gold emerged as the largest contributor to September performance, surging nearly 30% for the full year and reaching an all-time high on September 26. Robusta coffee futures similarly hit new peaks during the month, driven by severe drought conditions in Brazil—the world's largest coffee producer—which significantly impacted the 2024-2025 coffee harvest outlook. These gains were complemented by a supportive macro backdrop of record commodity prices broadly, rising equity markets, and falling interest rates, all of which align with trend-following strategy mechanics that capitalize on persistent directional moves across asset classes.
However, the September gains masked persistent drags on year-to-date performance. The Australian dollar, despite contributing positively in September, has been the largest cumulative headwind for trend-following funds through the year. Other positions that weighted on full-year returns included the Mexican peso, silver, and natural gas, with sterling posting September gains but remaining unprofitable on a year-to-date basis. Societe Generale's data indicates that late September witnessed new position initiations across Hong Kong equities (Hang Seng index), sugar, silver, lean hogs, and currency pairs including Canadian, Australian, and New Zealand dollars, alongside German and Spanish equity indices, suggesting momentum signals were emerging across multiple asset categories as the quarter ended.
Gold emerged as the largest contributor to September performance, surging nearly 30% for the full year and reaching an all-time high on September 26. Robusta coffee futures similarly hit new peaks during the month, driven by severe drought conditions in Brazil—the world's largest coffee producer—which significantly impacted the 2024-2025 coffee harvest outlook. These gains were complemented by a supportive macro backdrop of record commodity prices broadly, rising equity markets, and falling interest rates, all of which align with trend-following strategy mechanics that capitalize on persistent directional moves across asset classes.
However, the September gains masked persistent drags on year-to-date performance. The Australian dollar, despite contributing positively in September, has been the largest cumulative headwind for trend-following funds through the year. Other positions that weighted on full-year returns included the Mexican peso, silver, and natural gas, with sterling posting September gains but remaining unprofitable on a year-to-date basis. Societe Generale's data indicates that late September witnessed new position initiations across Hong Kong equities (Hang Seng index), sugar, silver, lean hogs, and currency pairs including Canadian, Australian, and New Zealand dollars, alongside German and Spanish equity indices, suggesting momentum signals were emerging across multiple asset categories as the quarter ended.
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