Beverly Chandler, Opalesque London: Newedge has published its Review of CTA Performance in 2012, revealing that against a backdrop of rising global equity indices, managed futures strategies lost money for a second consecutive year in 2012.
The Newedge CTA Index fell 2.84% in 2012, with a volatility of returns of 6% using daily data and is in a 9.27% drawdown that started in April 2011.
Newedge writes that all of their CTA Indices exhibited negative performance over 2012.
The maximum drawdown experienced
for the year was approximately one times the annual
volatility for each of the indices. Newedge writes that the
Newedge Trend Indicator didn’t cope quite
as well – losing almost 16% for the year,
with a peak to trough drawdown in 2012
of -20.50%. "On a volatility adjusted basis
the CTA indices fared significantly better
than the Trend Indicator, highlighting the skill of active managers over a single parameter model.
In the context of an absolute return strategy however, a 3% decline for a year is well within the
bounds of what we would expect for a strategy that targets a volatility of between 10-15%. We can
use a number of our data sets to further explain this performance" Newedge writes.
The performance of the Newedge CTA Index, and Newedge Trend Index by calendar
month exhibited negative performance for the ......................
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