The IASG Trend-Following Strategy Index posted an estimated net return of +4.59% for June. The dominant theme in June was the UK referendum on EU membership, or ‘Brexit’ and the attendant surge in volatility that resulted in positive performance for CTAs. Trading conditions for systematic diversified managers were conducive due in large part to an increase in market volatility and sufficient directionality across markets and time frames.

Short-term volatility breakout strategies also delivered strong results as volatility soared. The Societe Generale Short Term Traders Index (STTI), which tracks performance of the largest 10 (by AUM) short term, diversified CTA managers that have an average holding period of less than ten days, rose 1.41% on Brexit, its third largest one-day gain ever (January ‘08 inception). For the month, the STTI posted a gain of 1.59%, bringing the year to date return to +5.81%.

Three out of the four asset classes were positive for trend-followers with gains spread across bonds, commodities, and currencies. Global stock indices were mixed as trend sentiment flip flopped between risk off and risk on, resulting in key reversals. Government bonds were the best performing sector as fixed income yields were universally down across the board. Long-term U.S. Treasury bonds rallied 7% with yields falling to historic lows. In currency trading, the US Dollar and Japanese Yen appreciated significantly on investor risk aversion, while the British Pound at one point plunged over -11%.

The Dow Jones Commodity Index (DJCI) was up 4.1%, bringing its YTD return to 14.2%. Precious metals got a boost from safe haven buying. Silver, one of the best performing markets for CTAs, gained 16.1%, to post a 34.2% YTD return. Gold rallied 8.5%, pushing its YTD gain to 24.3%.

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