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Managed Futures Hedge Funds Pad 2021 Gains In May

Managed futures hedge funds continued 2021's winning streak in May as the SG CTA Index added a fourth consecutive month of positive performance, ending the month up +1.92% in May for year to date gains of +7.65%.

Trend-following CTAs led performance in May, also adding a fourth positive month, returning +2.70%, good for +9.81% year-to-date. All ten of the trend-follower constituents in the Trend index contributed positive performance in May, compared to 85% of all CTAs in the broader based CTA index.

Shorter-term CTA strategies fared slightly worse in May recording a small loss in aggregate, down -0.62% for the month, but still remain positive for the year at +1.52%. Only three out of the ten short-term CTA constituents in the index posted positive performance, with most unable to recover mid-month losses.

Attribution data from the SG Trend Indicator showed that trend-following CTAs likely benefited from trends in Equities, Currencies, and Commodities; with each of these sectors contributing positive performance. Equity indices continued their upwards momentum, and overall US Dollar weakness persisted, combined with a variety of upwards trends in commodity markets. The most challenging sector was Fixed Income, where the recent reversal of the downward trend in bond prices continued.

“Despite a more mixed result in the short term space, CTAs have delivered another month of strong performance with trend following leading from the front," said Alex Hill, Director of Capital Consulting, at Societe Generale Prime Services and Clearing. "We have witnessed an increased concentration of positions across asset classes that could pose a wider risk to returns but if markets continue to move the way they have recently CTAs will stand to do well.”


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