Wednesday, May 2, 2018

Managed futures mixed performance for April but better than a stock/bond mix

Managed futures showed flat performance for the month with the SocGen CTA index up only 5 bps for the month. The BTOP50 index was up 29 bps and the SG trend index was up 47 bps. With only limited reporting, the Barclays CTA index gained 14 bps. The CTA mutual fund index lost 46 bps for the month. Our early read is that there was strong dispersion in performance based on the markets traded and the speed of the models used. 

The big moves were the dollar and bond breakouts during the second half of the month. With more belief that the Fed will continue to tighten and no strong action by other central banks, bonds had a major sell-off and the dollar had a strong breakout to the upside. Given the strength of the moves over a short horizon,  these breakouts caused significant financial pain for those not tilted in the right direction and gain for those managers that have faster reaction times. Equities even though tilted lower proved to be a mixed sector for many traders. Energy (oil and refined product) showed strong positive trends in April. Base metal trading was mixed while gold and precious metals sold-off as the dollar rallied. Commodities were mixed, but year highs were hit in some grain markets. 

Managed futures provided good diversification versus bonds which have fallen this year on inflation concerns. A diversified CTA would have outperformed a passive 60/40 stock/bond mix for the month. 

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