Industry Updates

Newedge CTA Index down 0.97% in September, -2.68% YTD, mixed performance for Newedge Indices overall

Thursday, October 17, 2013

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Opalesque Industry Update - The Newedge Macro Trading Index (Quantitative), which represents quantitative macro strategies, rose 2.31% in September 2013, marking the index’s best month since July 2012. In addition, the top YTD performer through September remains the Newedge Commodity Trading Index (Equity), which has returned 16.08% over the nine-month period.

The Newedge CTA, Trend, and Short-Term indices fared poorly in September, finishing down 0.97%, 0.59% and 2.08%, respectively.

Commenting on the September performance data, Ryan Duncan, Global co-head of Newedge’s Advisory Group for Alternative Investment Solutions, said: “September returns of the Newedge Indices were mixed. Performance amongst constituents remains dispersed as well. In 2013, the average pairwise correlation amongst the constituents of the CTA Index is low at 0.30. In addition, top and bottom performing strategies are separated by over 22 percent.”

Index	Sept. 2013	YTD

Newedge CTA Index	-0.97%	-2.68%
Newedge Trend Index	-0.59%	-3.14%
Newedge Trend Indicator	-3.28%	-18.39%
Newedge Short-Term Traders Index	-2.08%	-0.18%
Newedge Macro Trading Index	0.86%	1.47%
Newedge Macro Trading Index (Quantitative)	2.31%	-0.20%
Newedge Macro Trading Index (Discretionary)	-0.42%	1.90%
Newedge Commodity Trading Index	-0.72%	-1.01%
Newedge Commodity Trading Index (Trading)	-1.26%	-3.69%
Newedge Commodity Trading Index (Equity)	2.84%	16.08%
Newedge Volatility Trading Index	0.40%	-2.53%

Some of the top performing hedge funds during September included:

The Newedge CTA Index:

• Graham Capital (K4D-15V): est. +4.14 percent
• Winton Capital (Diversified): est. +3.47 percent
• Ortus Capital (Currency): est. +1.23 percent

The Newedge Trend Index:

• Graham Capital (K4D-15V): est. +4.14 percent
• Winton Capital (Diversified): est. +3.47 percent
• Lynx Bermuda Ltd (D): est. +0.52 percent

The Newedge STTI Index:

• Conquest Capital (Macro): est. +2.80 percent
• Boronia Capital (Diversified): est. +0.59 percent
• Mesirow Financial Absolute Return: est. +0.29 percent

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