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Managed Futures Pull Back In June But Enjoy Solid, If Not Spectacular, First Half

Managed futures performance was positive in the first half of 2021, but their winning streak ended in June with all of Societe Generale’s CTA indices posting small losses after four months of consecutive gains. The flagship SG CTA Index was up +6.51% in the first six months of the year, but lost -1.06% in June. Performance in H1 was led by trend-following strategies; the SG Trend Index returned +7.39%, after suffering a -2.19% loss in June. Not all CTAs lost out in June though, as six out of the 20 constituents in the CTA index contributed gains, two of which were trend-followers.

Short-term CTA performance was also negative in June, the SG Short-Term Traders Index lost -0.52% but also completed a positive first half, up +1% in H1. Individual short-term CTA performance was similarly mixed in June, with positive contributions from three out of the 10 managers in the index.

The SG Trend Indicator attributed trend-follower gains for the year so far to the Equity, Commodity, and Bond sectors. Equity indices and Commodities contributed positive performance at the portfolio level from generally long positions, capturing upwards price trends, and the opposite in Bond markets where downwards trends were present. The momentum in bond prices did reverse in June, centred around the mid-month US Fed meeting, resulting in losses as new trends began to emerge. The Currency sector also contributed losses during H1 and June, the result of volatile sideways markets with few clear price trends.

Tom Wrobel, Director of Capital Consulting, at Societe Generale Prime Services and Clearing, said:

“CTAs have delivered positive performance in 2021 so far, at a time when institutional investors are re-assessing their portfolios, and asking questions about inflation and future growth prospects. CTA managers of all styles, from trend-following, quant macro, and shorter-term strategies, could be well placed to offer investor diversification in a period of reflation: trading actively across all asset classes. We will continue to monitor the industry and performance closely as new trends and market dynamics emerge.”


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