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CTAs outperform over October

Wednesday, November 20, 2013
Opalesque Industry Update - Newedge reports that nine of the 11 Newedge Hedge Fund Indices experienced gains in October, including the Newedge CTA, Trend, and Short-Term Indices. Trend-following strategies, as represented by the Newedge Trend Index, faired particularly well, finishing the month up 2.55%.

In the Newedge CTA Index, seven of the month’s top 10 performers employ trend-following strategies.

The top YTD performer of 2013 through October remains the Newedge Commodity Trading Index (Equity), which has returned 17.72% over the 10-month period.

Some of the top performing hedge funds during October included:

The Newedge CTA Index:

  • Man Investments (AHL Diversified): est. +6.48 percent
  • Lynx Bermuda Ltd (D): est. +4.64 percent
  • Graham Capital (K4D-15V): est. +3.33 percent The Newedge Trend Index:
  • Man Investments (AHL Diversified): est. +6.48 percent
  • Lynx Bermuda Ltd (D): est. +4.64 percent
  • Graham Capital (K4D-15V): est. +3.33 percent

    The Newedge STTI Index:

  • Amplitude Capital (Klassik A): est. +3.30 percent
  • Kaiser Capital (Global Diversified): est. +1.42 percent
  • Crabel Capital (Multi-Product): est. +0.70 percent
The Newedge CTA Index, which is equally weighted, calculates the daily rate of return for a pool of the largest 20 CTAs that are willing to provide daily returns and are open to new investment. Both indices are rebalanced and reconstituted annually.

The Newedge Trend Index, which is equally weighted, calculates the daily rate of return for a pool of the largest 10 trend following-based CTAs that are willing to provide daily returns and are open to new investment.

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 the largest 10 short-term, diversified CTAs who have a holding period shorter than 10 days, are willing to provide daily returns and are open to new investment.

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 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 long short equity strategies focused on commodity related stocks.

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