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Industry Updates

Newedge CTA Index down -1.71% in May (2.58% YTD)

Monday, June 17, 2013
Opalesque Industry Update – The Newedge Trend Index fell 3.65% in May 2013 (3.74% YTD), relinquishing some of the gains from March and April. The Newedge Short-Term Trading Index finished slightly positive, extending a run of performance not seen since 2008.

The Newedge Trend Index, which is equally weighted, calculates the daily rate of return for a pool of the largest 10 trend following based CTAs that are willing to provide daily returns and are open to new investment.

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

The Newedge Short-Term Traders Index is designed to track the daily performance of a portfolio of the largest ten 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 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.

Commenting on the May performance data, Ryan Duncan, Global co-head of Newedge’s Advisory Group for Alternative Investment Solutions, said: “Performance dispersion amongst Newedge index constituents was high in May. Trend following strategies struggled as evidenced by our Trend Index and Trend Indicator. Short-term strategies continued a strong run of uncorrelated performance."

Some of the top performing hedge funds during May included:

The Newedge CTA Index:

• P/E Investments (FX Aggressive): est. +11.69 percent
• Boronia Capital (Diversified): est. +1.22 percent
• Graham Capital Mgmt. (Discretionary – 6V): est. +0.84 percent

The Newedge Trend Index:

• Campbell & Co. (FME Large): est. -0.21 percent
• Altis Global Futures Portfolio (Composite): est. -0.30 percent
• Lynx Bermuda Ltd (D): est. -1.73 percent

The Newedge STTI Index:

• Kaiser Capital (Global Diversified): est. +10.15 percent
• Revolution Capital (Mosaic): est. +8.81 percent
• Conquest Capital (Macro): est. +1.50 percent

Newedge’s Alternative Investment Solutions Group, part of Newedge’s Prime Clearing Services, is an innovator in providing investors with benchmarking tools that accurately represent key hedge fund strategy styles.

Newedge is the leading prime broker for the CTA market, servicing the largest share of the CTA fund market in the word. Currently Newedge ranks No. 3 based on the CFTC’s tracking of customer assets on deposit.

Press release

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