Wed, Nov 26, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

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

Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - George Soros puts $500m of his money on Bill Gross, Soros, Paulson backed Hispania Activos mulls Realia takeover, Ex-Credit Suisse trader’s hedge fund sees yen shorts as crowded, Hedge hunters double default-swaps as views split, Large hedge fund positions come under pressure, Vikram Pandit's fund picks 50% stake in JM Financial's realty lending arm for $87m[more]

    George Soros puts $500m of his money on Bill Gross From WSJ.com: Before Bill Gross was fully settled in at his new firm, Janus Capital Group Inc., he received an unlikely visit from the chief investment officer of famed investor George Soros ’s firm, according to a person familiar with t

  2. Europe - Hedge funds face exit tax as Iceland central bank discusses plan[more]

    From Bloomberg.com: Hedge funds and other creditors with claims against Iceland’s failed banks face an exit tax as the island looks for ways to unwind capital controls without hurting the economy. The government targets having a plan it can present by year-end that would map out how Iceland will sca

  3. Opalesque Exclusive: Risk management emerges as a competitive focus area for hedge funds[more]

    Bailey McCann, Opalesque New York: Risk management has always been a core component of any trading strategy, as well as a critical part of business management. However, as macreconomic weakness persists, and alpha becomes increasingly hard to generate, risk management as emerged as a more promin

  4. Unlucky Paulson & Co. rebrands $1.6bn Recovery Fund after 13% drop[more]

    From Businessweek.com: A maturing U.S. economic recovery is prompting Paulson & Co. to change course. The $19 billion hedge fund firm, led by billionaire John Paulson, told investors on a conference call this month that the Paulson Recovery Fund will be renamed Paulson Special Situations Fund on Jan

  5. Gross: Inflation is required to pay for prior inflation[more]

    Benedicte Gravrand, Opalesque Geneva: As inflation rises, every dollar will buy a smaller percentage of a good. While deflation will mean a decrease in the general price level of goods and services. These two economic conditions are both in the waiting room. The consensus would like the former to