Newedge CTA Indices: Index Performance Announcement - Managed Futures Endure Mixed First Half Of 2015 - Tale Of Two Halves As Second Quarter Of 2015 Reverses First Quarter Gains

Societe Generale Prime Services today announces the June performance data for its Newedge CTA indices.

Following the strongest first quarter since 2008, managed futures endured a challenging second quarter of 2015. June saw CTA managers experience losses at both the beginning and at the end of the month, resulting in all indices ending the month in negative territory.

The Newedge CTA Index declined 4.20% during the month of June. However, the performance of the index at the end of the first half of the year was somewhat protected by stronger returns at the beginning of the year, standing at -2.28% Year-to-date (YTD). 

Performance attribution data from the Newedge Trend Indicator shows mixed contribution from different sectors for trend following strategies. Both the bond and currency sectors contributed positively with a performance of +0.75% and +0.59% respectively, while the commodity and equity sectors showed negative performance for the month, -2.67% and -1.04%.

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

“CTAs enjoyed a strong start to 2015, continuing the positive run that began in 2014. But there is no doubt that the last three months of 2015 were challenging for all.

“During June there were clearly two forces at work: we saw positive returns from the bond and currency sectors offset by negative contributions from commodity and equity indices.

“Overall, CTAs ended the first half of the year slightly down and it will be interesting to see how they navigate the recent market volatility, and how returns will evolve in the second half of 2015.” 

The Newedge CTA Index, which is equally weighted, calculates the daily rate of return for a group of the largest 20 CTAs that are willing to provide daily returns and are open to new investment.

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

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 group 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.

Societe Generale Prime Services is an innovator in providing investors with benchmarking tools that represent key hedge fund strategy styles. For further information regarding the calculation of the Newedge indices please see www.newedge.com

Further information regarding the calculation of the Newedge indices including a summary of the relevant index rules is available either online at http://www.newedge.com/ or upon written request made to the Alternative Investments Consulting Team at Societe Generale Prime Services at the address stated in the document. The methodology used to calculate the Newedge indexes are based upon the rules existing at this time and may be subject to change in the future. Newedge indices are benchmarks made available for information only and may not be disclosed to, reproduced or used or relied upon by any other person or entity or used for any other purpose without the prior written consent of Societe Generale Prime Services.