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Newedge CTA Index down -1.44% in August ( -2.27% YTD)

Wednesday, September 14, 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.

The Newedge CTA Index's top performers for the month of August included:

Boronia Capital (Diversified Fund): est. +1.90 percent

Aspect Capital (Diversified Fund): est. +1.79 percent

NuWave Investment Mgmt. (Combined 2X): est. +1.73 percent

The STTI's top performers for the month of August included:

R.G. Niederhoffer (Negative Correlation): est. +16.32 percent

SSARIS Short-Term Momentum: est. +13.68 percent

R G Niederhoffer (Diversified): est. +9.52 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 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.

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.

Newedge VTI 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. Full performance table: Source

(press release)


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