Performance review: H1 2017

Société Générale commentary shows how CTA losses at the end of June were amplified by declining market volatility, resulting in larger position sizes


CTA performance in the first half of 2017 was by most accounts disappointing. However, returns were not negative throughout and there were opportunities for trend followers and other CTA strategies. The last four days of June were challenging, but despite large market reversals leaving many strategies in the red, a