CTAs Tough Start to 2025 Continues

Early data from SG Prime Services indicates that CTAs’ tough start to 2025 didn’t get any easier in March, although there was better news for short-term traders.

The SG CTA Index dropped 0.54% in March, sending the index to -2.52% for the first quarter of the year. This also means that over the last 12 months the index is down almost 9% as the good start to 2024 is left behind.

The data also indicate a tough month for trend followers, with the SG Trend Index dropping 1.54% in March, plunging it to 4.54% in the red for the year-to-date. As was the case with the headline index, the last 12 months have been very tough for trend followers, from 1 April 2024, the trend index is down more than 12.5%.

Perhaps indicating the random nature of volatility in what are undoubtedly event-driven markets, there was slightly better news for short-term traders, whose models are probably better suited to the conditions. The SG Short Term Traders Index rose 1.11% in March, meaning it has almost recovered its losses in the first two month – it currently sits at -0.11% year-to-date. After what has been a lively year for the segment, the index sits down 1.2% for the preceding 12 months.

There was better news from the SG Multi Alternative Risk Premia Index, which is typically systematic managers who trade multiple asset classes such as equities, fixed income, currencies, and in many cases commodities, and aim to capture a diversity of discrete risk premia, including most prevalently value, carry, and momentum. This rose 1.89% in March to hit +3.63% at the end of the first quarter and completing a successful 12 months for the strategy, which is now just over 5% up on 1 April 2024.