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All Newedge managed futures indices posted negative performance in August

Thursday, September 10, 2015
Opalesque Industry Update - Following a strong start to the second half of the year which saw the Newedge CTA Index rise over 3% in July, challenging market conditions resulted in a difficult month and all CTAs ended August 2015 in negative territory, according to the indices calculated by Societe Generale Prime Services.

The Newedge CTA Index declined -1.89% during the month of August, posting slightly negative year-to-date performance -1.19%.

Performance attribution data from the Newedge Trend Indicator shows mixed contributions from different sectors for trend following strategies. The slightly positive contribution from the currency sector (+0.37%) was more than offset by negative contributions from the bond and commodity sectors, showing respectively -1.26% and -1.19% performance for the month.

The currency sector continues to generate positive performance year-to-date, contributing +2.37%, followed by the equity sector +1.53%, since the beginning of the year.

James Skeggs, Global Head of Alternative Investments Consulting at Societe Generale Prime Services, said:

“August was a challenging month for many CTA strategies, eroding around half of July’s gains. The difficult market conditions had a negative impact on CTA returns with small currency sector gains erased by losses in the bond and commodity sectors.

“It will be interesting to see how CTAs fare for the rest of the quarter as markets prepare the Fed’s rate announcement next week.”

Press release

www.newedge.com

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