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Opalesque Industry Update –
November 2012 presented a mixed trading environment for the Newedge Indices. Commodity strategies faired poorly, extending a recent downturn in performance. The Volatility Trading Index continued a good run, and has now been positive in 8 of the 11 months in 2012.
Index
Nov.
2012 YTD
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Newedge CTA Index
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-0.15%
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-3.07%
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Newedge CTA Trend Sub-Index
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0.12%
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-4.77%
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Newedge Trend Indicator
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-0.33%
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-16.69%
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Newedge Short-Term Traders
Index
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-0.47%
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-5.59%
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Newedge Macro Trading Index
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0.55%
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0.10%
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Newedge Macro Trading Index
(Quantitative)
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0.86%
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0.08%
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Newedge Macro Trading Index
(Discretionary)
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0.33%
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0.08%
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Newedge Commodity Trading
Index
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-1.13%
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-2.54%
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Newedge Commodity Trading
Index (Trading)
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-1.16%
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-3.20%
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Newedge Commodity Trading
Index (Equity)
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-0.86%
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-1.85%
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Newedge Volatility Trading
Index
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0.17%
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4.75%
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The Newedge CTA Index’s top performers for the month of November included:
• Cantab Capital (Aristarchus): est. +4.92 percent
• FDO Partners (Emerging Markets Quant Currency): est. +2.66 percent
• Man Investments (AHL Diversified): est. +1.04 percent
The Newedge STTI’s top performers for the month of November included:
• Crabel Capital (Multi-Product): est. +3.80 percent
• Ion Fund: est. +0.50 percent
• Boronia Capital (Diversified): est. -0.02 percent
press release
Newedge Indices: newedge.com/web/guest/brokerage_services/research/newedge_indices
Newedge: www.newedge.com Bg
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