Trend funds helped by coffee and pesos in June, Societe Generale note shows

Trend funds saw a marginally positive June result, as trades in coffee KT1! and currencies such as the Swiss franc USDCHF, euro EURUSD and Mexican peso USDMXN helped offset losses, Societe Generale said in a note seen by Reuters on Friday.

Systematic hedge funds, whose algorithms ride market trends until they peter out, eked out a 0.52% average return in June, according to the Societe Generale GLE client note.

Indices tracking CTAs (commodity trading advisors) and trend funds remained down around 7.6% and roughly 10%, respectively for the year so far, SocGen said.

Individual fund returns for the year so far, ranged from roughly up 15% to a just over 7% negative return on investment across 82 hedge funds tracked by the French bank.

Coffee, the Swiss franc, the euro and the Mexican peso added to positive returns for the cohort, while losing bets included U.S. fixed income (US2YT=RR), (US30YT=RR), crude oil CL1!, heating oil UHO1! and UK 10-year gilts (GB10YT=RR), the note said.

New positions that trend funds had piled into since June 26 included long bets on crude oil and U.S. government bonds (US2YT=RR), the bank said.

Since then, crude oil has risen roughly 2%, while short-dated bond prices have fallen, pushing yields up around 18 basis points.

Systematic trend followers often hold small positions across several markets. In June, the proportion of trades that were on for longer than a month rose by almost 10%, the SocGen data showed, a sign of calmer markets.

The most crowded trades were in interest rates, according to data cited in the note.