Trend-Following Hedge Funds Record Losses in Q1
CTAs and trend-following hedge funds endured another punishing month in March, sealing a dismal first quarter that left the sector nursing losses. Equity markets were whipsawed, with U.S. tech stocks staging a dramatic about-face, while the specter of President Trump’s escalating global tariffs loomed large, sowing confusion across asset classes.
Societe Generale’s main SG CTA Index, a vital pulse-check for the managed futures industry, dropped 2.52% in the first quarter of 2025. This index, which tracks the daily net returns of 20 top-tier managed futures strategies from leading hedge fund firms, took a 0.54% hit in March. That stumble came hot on the heels of a heftier 2.16% loss in February, painting a challenging picture for the period.
The SG CTA Index comprises funds overseen by well-known entities including PIMCO, Quest Partners, Winton Capital, and Millburn Ridgefield, alongside Aspect Capital’s Diversified Fund and Man Group’s AHL Alpha fund. Among these, AQR’s Managed Futures strategy, also part of the SG CTA Index, stood out by surpassing the industry’s general performance. It achieved an estimated monthly return of 2.5%, elevating its first-quarter return to above 8%, according to Reuters.
Elsewhere, the SG Trend Index—SocGen’s daily pulse on the 10 biggest trend-following hedge funds—finds itself caught in a relentless downturn. In the firt quarter of 2025, the index plunged by over 4.5%, obliterating the modest 2.6% gain it had clawed out in 2024. Tracking powerhouse strategies from firms like Graham Capital, Lynx, Systematica, and Transtrend, the index took a brutal hit with a 1.54% loss in March, piling onto February’s already steep 2.73% drop.
On a more positive note, the SG Short Term Traders Index, which tracks CTAs and quant macro funds employing shorter-term strategies based on 10-day trading windows, has managed to navigate the recent market downturn more effectively. These funds posted a 1.11% gain last month, although the index is still slightly down year-to-date, at -0.11%.