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By Beverly Chandler, Opalesque London:
As head of research, EMEA, at Newedge Group’s prime brokerage team, James Skeggs is at the sharp end with the firm’s range of alternative indices. The six indices, two with sub indices, came from the two groups that merged to form Newedge some three years ago.
The Newedge CTA Index (which is calculated daily), the Commodity Trading Index and the Macro Trading Index have data back to 2000. The Macro Trading Index has two sub indices covering Quantitative and Discretionary strategies, while the Commodity Trading Index has sub indices for Trading and Equity styles.
“We started the construction of indices as a way to help educate investors and to provide transparency into a number of different trading strategies” says Skeggs.
Data from 2002 onwards underlies the Newedge Trend Indicator, not exactly an index of hedge funds but based on an in-house trend following model. “We wanted to identify the “beta” for trend following strategies. The Newedge CTA index includes a mixture of strategies, and, being based on manager returns, includes a significant amount of manager skill. As such, we felt there was a place for a market based performance benchmark with a high correlation to those strategies” Skeggs says.
The numbers from 2003 give rise to the Volatility Trading Index while data from 2008 supports the other index that is calculated daily, the Short Term Traders Index. Both of these indices were created to give...................... To view our full article Click here
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