Following a flat July, CTAs struggled in August. A concomitance of low volatility, range bound markets, lack of follow through on existing trends, as well as an emergence of new trends, resulted in negative performance for several managers. The extremely low volatility environment was challenging for most systematic managers as their strategies had little to work with. This absence of any meaningful follow through resulted in a portion of previously accrued gains being absorbed back into the markets.
Early estimates show the Soc Gen CTA Index lost approximately 3.1% in August with performance holding relatively steady through the first 2 weeks, and the majority of losses accruing over the second half. Even relatively nimble short term traders also found trading conditions just as challenging as trend-followers, represented by the Soc Gen Short Term Traders Index losing 3.4%.
Trading activity will pick up considerably in September with a jam-packed calendar of events slated throughout the month. Starting with today’s August U.S. non-farm payrolls report to key central bank monetary policy meetings, including the Bank of England (Sept. 15), Bank of Japan (Sept. 21), U.S FOMC (Sept. 21), as well as the ECB Governing Council meeting to address quantitative easing strategy (Sept. 8), and the G20 Summit in China (Sept. 4-5th). Should all make for an interesting month of trading.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING COMMODITY INTERESTS CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION