Tue, Sep 2, 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. Study shows what resonates with investors: 'Unwavering', 'passionate' beats 'committed', 'dedicated' and more surprises[more]

    Komfie Manalo, Opalesque Asia: A new study by Pershing, a unit of BNY Mellon company, showed that an effective value proposition strengthens audience connections and fosters growth, yet many advisors have had little objective guidance in formulating such statements until now. In the study

  2. Comment – Why you should avoid the hottest hedge fund hands, Swedroe attacks Hussman over risk management, relative value strategy[more]

    Why you should avoid the hottest hedge fund hands FromCNBC/Yahoo.com: Investors who don't have money with Pershing Square Capital Management are likely salivating at the hedge fund's industry-leading 26 percent return from January through July. But investing with Bill Ackman and other to

  3. Managed futures' global diversification is important in next phase of economic recovery[more]

    Komfie Manalo, Opalesque Asia: The global diversification provided by managed futures may prove to be extremely valuable as the markets enter the next phase of the economic recovery, said Campbell & Company, a pioneer in absolute return invest

  4. Ex-UBS prop trader's hedge fund Manikay Partners eyes UK launch[more]

    From eFinancialnews.com: Manikay Partners, a $1.7 billion US multi-strategy hedge fund set up in 2008 by a proprietary trader from UBS with backing from Goldman Sachs, is planning to open in the UK. New York-based Manikay's move into Europe comes after Financial News revealed on Monday that Aurelius

  5. Big hedge funds tighten grip amid consolidation[more]

    From Asianinvestor.net: The hedge fund industry consolidated last year with the number of funds falling by around a tenth from 2012 but assets under management rising $248.8 billion to $2.6 trillion, finds a new report from research firm eVestment. Firms with more than $1 billion in hedge fund A