Early Results Point to CTA Struggle in August

CTAs and prop trading firms continued to struggle in their efforts to provide positive returns in August, with three headline SG indices all in negative territory for the month.

The SG CTA Index fell 0.4% in August, bringing the year-to-date return to -1.5%, largely thanks to a terrible month of March. Thus far in 2023, the SG CTA Index has had four positive and four negative months, the worst being the aforementioned March at -6.4%.

March is also responsible for the poor 2023 return on the SG Trend Index – and again this index has had four of the eight months this year in positive territory, undermined by -7.7% in March. In August, the SG Trend Index was -0.8%, bringing the year-to-date deficit to -2.25%.

After a brief glimpse of positive returns in July, short-term traders returned to what has been a prolonged struggle in 2023, with the SG Short-Term Traders Index falling 0.4% in August. This index has struggled all year, with only July, at +0.2%, being a positive return month. Year-to-date, the short-term traders index remains deep in the red at -3.41% and given the relatively shallow return profile of the index – March was again provided the biggest number at -1.7% – it is unlikely to be able to turn positive by year-end.