Newedge, a global leader in multi-asset brokerage and clearing, today announces the September performance data for its CTA performance indices.
September saw all the Newedge managed futures indices continue the positive momentum seen in August, with positive returns posted across the board for the second month in a row. The strong post-summer period for CTAs means that the Newedge indices remain firmly in the black for 2014 YTD.
Trend-following strategies continue to drive this positive performance, with strong gains yet again in September. The Newedge Trend Index returned +3.33% for the month, building on a +5.40% return in August, while the Newedge Trend Indicator posted its highest monthly gain since the index began in January 2000. It showed +16.66% for September, with 2014 YTD performance now standing at +18.13%.
Newedge’s data shows that the currency sector was a significant contributor of positive performance in September, contributing +15.38%. The commodity sector also showed positive performance, building on the gains made in August to contribute +4.29% for the month, but remains in negative territory for 2014 YTD.
James Skeggs, Global Head of Advisory Group at Newedge, said:
“Contrary to the popular misconception, trend-following strategies are very much alive and are a significant reason for the positive CTA performance we have seen in 2014. Momentum is positive at present, and the volatility we’ve seen in markets – particularly in currencies – is providing more opportunities on which such strategies can capitalise.”
|
Index |
September Return |
YTD Return |
|
|
|
|
|
Newedge CTA Index |
+1.92% |
+6.02% |
|
Newedge Trend Index |
+3.33% |
+7.11% |
|
Newedge Trend Indicator |
+16.66% |
+18.13% |
|
Newedge Short-Term Traders Index |
+1.34% |
+4.38% |
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.
