Tue, Jul 22, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Newedge review of CTA performance finds second year of disappointing returns for the strategy

Tuesday, January 29, 2013

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 ......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing
  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Events – AIMA Australian Hedge Fund Forum, Sept. 16, Sydney[more]

    AIMA Australia invite you to join us at our annual Hedge Fund Forum on Tuesday 16th September 2014 at the Sofitel Sydney Wentworth. The AIMA Australian Hedge Fund Forum is a non-profit hedge fund conference organised by the industry for the industry, featuring quality Australian and internation

  2. Opalesque Exclusive: Loeb, Grantham cite growing economic concerns in letters[more]

    Bailey McCann, Opalesque New York: Hedge fund manager Daniel Loeb, head of Third Point, and Jeremy Grantham of Grantham, Mayo, Van Otterloo & Co. have both released their quarterly investor letters today. While news is positive on some fronts, and both men see pockets of opportunity, they also h

  3. Investing – Hedge funds expect Netflix earnings to catapult forward, Third Point's Loeb takes stakes in Fibra Uno, YPF, Royal DSM, Lake Capital in talks to back Engine Group[more]

    Hedge funds expect Netflix earnings to catapult forward From Investing.com: Netflix has made major strides forward in 2014 despite ongoing battles with the FCC and cable companies over the issue of net neutrality. The FCC has now received over 500,000 comments from the public on its pend

  4. Opalesque Roundtable: European family offices struggle to retain their investments in offshore hedge funds[more]

    Komfie Manalo, Opalesque Asia: The European Union’s Alternative Investment Fund Managers Directive (AIFMD) will constrain investment opportunities amidst concern a number of U.S. fund managers will stop marketing their products in the European Union under the new rule, said Valentin Bohländer fro

  5. Opalesque Roundtable: Success in hedge fund marketing not linked to performance, but investor appetite[more]

    Komfie Manalo, Opalesque Asia: Success in marketing a fund is not linked to the performance, but to investor appetite, to the way you can market the fund, and to how much time you can spend to raise assets, said Antoine Rolland, the CEO of incubator and seeding firm