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Newedge CTA index down 1.24% in August, +0.84% YTD

Wednesday, September 19, 2012
Opalesque industry Update – The Newedge Commodity Trading Index finished August 2012 up 0.92%, completing a recent run of three consecutive positive months. Over the same period, the CTA and CTA Trend-Sub Indices finished down 1.68% and 1.87% respectively. Sector performance data from the Newedge Trend Indicator reveals commodity and currency sectors may have contributed to this difficult run for systematic strategies.

Newedge CTA Index

-1.24%

0.84%

Newedge CTA Trend Sub-Index

-2.02%

2.11%

Newedge Trend Indicator

-5.32%

-13.05%

Newedge Short-Term Traders Index

-1.58%

-2.60%

Newedge Macro Trading Index

0.01%

0.46%

Newedge Macro Trading Index (Quantitative)

-0.39%

1.39%

Newedge Macro Trading Index (Discretionary)

0.32%

-0.12%

Newedge Commodity Trading Index

0.92%

0.52%

Newedge Commodity Trading Index (Trading)

0.96%

0.55%

Newedge Commodity Trading Index (Equity)

0.64%

-0.07%

Newedge Volatility Trading Index

0.08%

3.04%


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

• Armajaro Commodities Fund: est. +3.58 percent
• Quantitative Investment Mgmt. (Global): +0.52 percent
• Graham Capital Mgmt. (Discretionary – 6V): est. +0.27 percent

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

• Quantitative Investment Mgmt. (Global) : est. + 0.52 percent
• Ion Fund: est. + 0.30 percent
• Kaiser Capital (Global Diversified): est. -0.34 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.

For additional information please visit: www.newedge.com/web/guest/brokerage_services/research/newedge_indices

(press release)

Newedge, a 50/50 joint venture between Société Générale and Crédit Agricole CIB, is a major force in global multi asset brokerage business, with a world-leading position in the execution and clearing of listed derivative products. With a presence in more than 20 locations in 16 countries, Newedge offers a full range of clearing and execution services covering options and futures contracts for financial products and commodities, as well as for money market instruments, bonds, FX, equities, and commodities on OTC markets. www.newedge.com

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