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.|
Commentary: June proved difficult for CTA strategies. "Risk-on" movements in the first three weeks and final days of June hurt CTA positions, which were generally structured to benefit from an economic downturn. June 29th was especially trying as strong rallies in equity and commodity markets, alongside declines in interest rate and bond markets and the US Dollar, reversed preexisting trends.
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 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.