Key Takeaways
- • Short-term trend-following hedge funds rose 0.47% in May 2020, with Société Générale's Short Term Index up 4.38% year-to-date, demonstrating resilience in volatile market conditions.
- • Broader CTA indices contracted in May: SocGen's main CTA Index fell 0.68% for the month and sits down 1.0% since the start of 2020, reversing April's 0.24% advance.
- • SG Trend Index declined 0.73% in May but remains positive at 1.71% year-to-date, signaling divergence between short-term and longer-duration trend-following strategies.
- • Short-term trend-followers capitalized on Q1 volatility and the sharp March equity market reversal, profiting from subsequent currency and commodity price declines in April.
- • Performance divergence reflects strategy-specific exposures: quantitative macro, machine learning, and traditional trend-following strategies showed mixed results in recent weeks despite April gains.
Summary
Short-term trend-following hedge fund strategies are outperforming their broader managed futures peers in May 2020, according to Société Générale performance data. While short-term CTAs and global macro managers with average holding periods under 10 days have posted a 0.47% gain this month, other trend-following strategies have shifted into negative territory, illustrating a meaningful bifurcation within the managed futures space.
The performance divide is evident across three key benchmarks. Société Générale's Short Term Index, which tracks daily performance of short-duration CTA and macro strategies, has generated 4.38% year-to-date returns through May. In contrast, SocGen's broader CTA Index—measuring larger, more established trend-following funds—declined 0.68% in May and remains down 1.0% for the full year 2020. The SG Trend Index, a wider measure of net daily gains across trend-following managers, fell 0.73% in May while maintaining a 1.71% year-to-date advance.
Short-term strategies capitalized on exceptional first-quarter volatility when markets experienced a sharp reversal in March equities. These managers positioned profitably ahead of the selloff and subsequently harvested gains in April as prices declined further across currencies and commodities. This tactical agility in capturing directional moves and momentum reversals has defined performance strength for the short-duration category through the spring months.
The May decline in broader indices represents a reversal from April's more constructive environment, when quantitative macro, machine learning, and traditional trend-following strategies all advanced. April's 0.24% gain across the main CTA Index suggests that recent weakness reflects tactical positioning challenges rather than structural strategy failure. The divergence between short-term and longer-duration trend-following approaches underscores that market regime transitions and reduced volatility levels can differentially impact managers based on their time horizons and exposure profiles.
The performance divide is evident across three key benchmarks. Société Générale's Short Term Index, which tracks daily performance of short-duration CTA and macro strategies, has generated 4.38% year-to-date returns through May. In contrast, SocGen's broader CTA Index—measuring larger, more established trend-following funds—declined 0.68% in May and remains down 1.0% for the full year 2020. The SG Trend Index, a wider measure of net daily gains across trend-following managers, fell 0.73% in May while maintaining a 1.71% year-to-date advance.
Short-term strategies capitalized on exceptional first-quarter volatility when markets experienced a sharp reversal in March equities. These managers positioned profitably ahead of the selloff and subsequently harvested gains in April as prices declined further across currencies and commodities. This tactical agility in capturing directional moves and momentum reversals has defined performance strength for the short-duration category through the spring months.
The May decline in broader indices represents a reversal from April's more constructive environment, when quantitative macro, machine learning, and traditional trend-following strategies all advanced. April's 0.24% gain across the main CTA Index suggests that recent weakness reflects tactical positioning challenges rather than structural strategy failure. The divergence between short-term and longer-duration trend-following approaches underscores that market regime transitions and reduced volatility levels can differentially impact managers based on their time horizons and exposure profiles.
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