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Industry Updates

Newedge CTA Index up 2.74% in October (9% YTD), AlternativeEdge Short-Term Traders Index down 0.49% (0.97% YTD)

Monday, November 22, 2010
Opalesque Industry Update – Newedge, a global leader in multi-asset brokerage and clearing, posted the monthly performance data for its suite of Hedge Fund Indices.

Index Oct. 2010 YTD

Newedge CTA Index

2.74%

9.02%

 

 

 

Newedge CTA Trend Sub-Index

5.12%

11.57%

 

 

 

Newedge Trend Indicator

2.81%

5.72%

 

 

 

Newedge AlternativeEdge Short-Term Traders Index

-0.49%

0.97%

 

 

 

Newedge Macro Trading Index

0.58%

4.59%

 

 

 

Newedge Macro Trading Index (Quantitative)

1.67%

10.61%

 

 

 

Newedge Macro Trading Index (Discretionary)

0.01%

2.12%

 

 

 

Newedge Commodity Trading Index

3.54%

5.86%

 

 

 

Newedge Commodity Trading Index (Trading)

3.70%

5.28%

 

 

 

Newedge Commodity Trading Index (Equity)

2.02%

7.60%


The Newedge CTA Index top performance for the month of October included:

• Chesapeake Capital (Diversified): est. +10.95 percent
• Graham Capital Management (K4D-15V): est. +5.00 percent
• Aspect Capital (Diversified Fund): est. +4.52 percent

The Newedge AlternativeEdge Short-Term Traders Index (STTI) top performers for the month of October included:

• Revolution Capital (Mosaic): est. +18.36 percent
• SSARIS Short-Term Momentum: est. +2.86 percent
• Kaiser Trading Group (2X): est. +2.81 percent

The Newedge CTA Index, which is equally weighted, calculates the daily rate of return for a pool of the largest CTAs that are willing to provide daily returns and are open to new investment.

The Newedge CTA Trend Sub-Index, which is equally weighted, calculates the daily rate of return for a pool of trend following based CTAs who are constituents of the Newedge CTA Index. The index is rebalanced annually.

The Newedge Trend Indicator is a market based performance indicator designed to have a high correlation to the returns of trend following strategies.

The Newedge AlternativeEdge STTI is designed to track the daily performance of a portfolio of short-term, diversified CTAs who have less than a 10-day average holding period, are willing to provide daily returns and are open to new investment.

The Newedge CTI includes funds that utilize a variety of investment strategies to profit from price moves in commodity markets. Managers may typically use either (i) a trading orientated approach, typically involving the trading of physical commodity products and/or of commodity derivative instruments in either directional or relative value strategies; Or (ii) Long short equity strategies focused on commodity related stocks.

The Newedge MTI includes global macro managers who typically employ top-down fundamental research to forecast the effect of global macroeconomic and political events on the valuation of financial instruments. These strategies may be either discretionary or systematic, and are frequently focused on a diversified basket of instruments.

Please visit the following website for further information on the indices and research developed by Newedge Prime Brokerage: Source


Newedge, a 50/50 joint venture between Société Générale and Crédit Agricole CIB, is a major force in global multi-asset brokerage business, with a world-leading position in the execution and clearing of listed derivative products. With a presence more than 20 locations in 16 countries, Newedge offers a full range of clearing and execution services covering options and futures contracts for financial products and commodities, as well as for money market instruments, bonds, FX, equities, and commodities on OTC markets. Newedge provides a range of value added services, including prime brokerage, asset financing, an electronic platform for trading and order routing, cross margining, and the centralized reporting of client portfolios. Newedge, which primarily serves institutional clients, provides access to more than 85 exchanges. Newedge's 3,000+ employees form a close-knit, multinational team that can innovatively respond to its clients in fast-moving markets. For more information, visit www.newedge.com


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