CTAs Begin 2015 With A Stellar January - All Newedge Indices Posted Positive Returns In January Continuing The Strong Run Observed In 2014.

Societe Generale Corporate & Investment Banking (SG CIB) today announces the January performance data for its Newedge CTA performance indices. 

Managed futures started the year positively, following on from the strong performance achieved in the second half of 2014. All Newedge’s indices enjoyed positive monthly returns for the sixth consecutive month.

The Newedge CTA Index posted returns of +4.41% for the month, led by Trend following strategies, with the Newedge Trend Index returning +5.08% for the month.

The first month of the year also saw positive returns for short-term strategies, with the Newedge Short Term Traders Index posting a return of +3.02%.

Data from the Newedge Trend Indicator shows that the currency and bond sectors were the main drivers of portfolio performance in the month: currency exposure contributed +4.12% and bonds +6.33%. Interest rate volatility remained low in January and contributed only +0.11%, while equity indices and commodities yielded mixed results.

James Skeggs, Global Head of Advisory Group at Societe Generale Prime Services, said:

“The performance numbers announced today show that the momentum generated in 2014 has continued into 2015 – January was an excellent month for CTAs. Our indices highlight that CTAs have been one of the best performing hedge fund strategies over the last nine months and this has translated into a marked increased interest in managed futures from institutional investors.”

The Newedge CTA Index, which is 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 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 and stable 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 that have a holding period shorter than 10 days, are willing to provide daily returns and are open to new investment.

Newedge’s Alternative Investment Solutions Group, part of Newedge’s Prime Clearing Services, is an innovator in providing investors with benchmarking tools that represent key hedge fund strategy styles.