CTAs Edge Back to the Black

CTAs and trend followers have overcome the damage to their returns suffered in early March, thanks to a more hawkish-than-expected Federal Reserve, to hit positive territory in June for the first time in three months.

The SG CTA Index was +1.3% in June, bringing the index to a fraction over zero at +0.003% year-to-date. In Q2 alone the Index was up 5.5%, dragging back losses triggered by Federal Reserve Board chair Jerome Powell’s warning in March that the Fed hiking cycle would be much more aggressive that previously though.

It was a similar picture for the SG Trend Index, which, after coming off some very strong years, also suffered towards the end of Q1. The Index was up just over 8% in Q2, and returned +2.03% in June, however the impact of the March reversal can be seen in the fact that the Trend Index is only now back into positive territory at +0.13%.

Short-term traders are continuing to struggle, however, after also enjoying a banner year in 2022. The SG Short-Term Traders Index was -0.26% in June and is down 1.35% for the quarter. Again, the sector was hit in March by the Fed’s hawkish turn and year-to-date it remains negative, at -3.35%.