Sun, Mar 29, 2015
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. Other Voices: Does the hedge fund industry benefit society?[more]

    This article was authored by Don Steinbrugge, Chairman of Agecroft Partners, a US-based global consulting and third party marketing firm for hedge funds. It is no secret that the hedge fund industry is viewed negatively by a la

  2. Private credit comes into focus for investors[more]

    Bailey McCann, Opalesque New York: As investors look for a way out of the low yield/no yield environment, private credit is becoming an increasingly attractive asset class, according to a white paper from Bayshore Capital Advisors. Private credit has grown steadily since the financial crisis as

  3. M&A - Hedge funds no longer attractive targets for banks, reinsurers, Blackstone buys stake in Christopher Pucillo’s Solus event-driven hedge fund[more]

    Hedge funds no longer attractive targets for banks, reinsurers From Institutionalinvestor.com: Swiss RE, the world’s second-largest reinsurer, is looking to sell its 15 percent stake in Jersey, Channel Islands–based hedge fund firm Brevan Howard Asset Management. Morgan Stanley reported

  4. Opalesque Radio: Threadneedle expects continuing equity volatility this year[more]

    Benedicte Gravrand, Opalesque Geneva: Investors should expect more volatility, which is signaling a "slow moving" top to the market, KKM Financial’s founder and CEO Jeff Kilburg told CNBC on Monday. And this volatility is going

  5. Hedge funds show strong performance of 2.52% so far in 2015[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry got off to a strong start in 2015 "completely unmindful" of the poor performance last year, according to data provider Preqin. According to Preqin, following a year which saw the average he

 

banner