Traders Slip Back into the Red in July
Posted by Colin Lambert. Last updated: August 10, 2023
July was another tough month for CTAs in the SG CTA Index, after clambering back to flat on the year – mainly thanks to a poor March – losses resumed with the index ending the month -1.06% for the same year-to-date performance.
It was a similar pattern for trend followers, who suffered even more in July. Again, the SG Trend Index had poked its head above zero to end the first half of the year, but fell back again in July by 1.57%, for a -1.44% year-to-date return.
The more random volatility helped shorter-term traders in July, however year-to-date they remain solidly in the red. The SG Short-Term Traders Index rose 0.17% in July, the first time the index has returned a positive monthly return since September 2022. Year-to-date the index remains down 3.08%.
Elsewhere, the SG Multi Alternative Risk Premia Index, which represents managers who employ investment programs diversified across multiple asset classes while utilising multiple risk premia factors, was also slightly down in July. The managers in the index trade 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. July the index ended -0.26%, but year-to-date remains in healthy territory at +3.31%.