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Industry Updates

Newedge CTA Index up 3.57% in April, +2.19% YTD

Friday, May 13, 2011
Opalesque Industry Update - Newedge, a global leader in multi-asset brokerage and clearing, today posted the monthly performance data for its suite of Hedge Fund Indices:

Index April 2011
Newedge CTA Index 3.57% 2.19%
Newedge CTA Trend Sub-Index 4.86% 1.43%
Newedge Trend Indicator 2.55% 3.95%
Newedge AlternativeEdge Short-Term Traders Index -0.33% -2.97%
Newedge Macro Trading Index 2.24% 1.22%
Newedge Macro Trading Index (Quantitative) 3.62% 1.69%
Newedge Macro Trading Index (Discretionary) 1.39% 0.79%
Newedge Commodity Trading Index 1.20% 2.32%
Newedge Commodity Trading Index (Trading) 1.49% 2.93%
Newedge Commodity Trading Index (Equity) -0.44% -1.00%
Newedge Volatility Trading Index 0.93% 3.54%

The Newedge CTA Index’s top performers for the month of April included:

  • Campbell & Co. (FME Large): est. +7.00 percent
  • FX Concepts (Multi-Strategy): est. +6.68 percent
  • Brummer & Partners (Lynx): est. +6.60 percent

The STTI’s top performers for the month of April included:

  • Quest Capital (AlphaQuest Short-Term): est. +9.02 percent
  • Sapiance Capital Capital ((Texys Fund): est. +6.15 percent
  • Boronia Capital (Diversified Fund): est. +4.59 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 Short-Term Traders Index 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 Commodity Trading Index 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 Macro Trading Index 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.

Newedge Volatility Trading Index is a performance measure for the volatility trading and arbitrage style within the hedge fund universe. It is an equally weighed portfolio of Volatility Trading & Arbitrage funds.

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

- FG

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