Societe Generale Prime Services Index Performance Announcement - Managed Futures Start Second Half Of The Year With Strong Performance - CTAs Bounce Back In July Boosted By Currency Sector

Societe Generale Prime Services has announced the July performance data for its Newedge CTA indices.

Following a mixed first half of the year, CTAs returned to positive performance in July, according to the indices calculated by Societe Generale Prime Services. The Newedge CTA Index posted +3.01% during the month of July, returning to positive year-to-date performance (+0.64% YTD).

Trend followers lead CTA returns in 2015 with the Newedge Trend Index posting a marked increase of +3.84% in July and a performance of +1.26% so far this year.

The Short term Trades Index also showed positive returns, up +0,55% in July. The Newedge Trend Indicator underperformed the Newedge Trend index and posted a loss of -2.37%.

Performance attribution data from the Newedge Trend Indicator shows that the currency sector contributed positively with a performance of +1.22%. However, the commodity, bond and equity sectors offset those gains by posting -1.81%, -1.30% and -0.32% respectively.

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

“Our managed futures indices show that CTAs enjoyed a good start to the second half of the year, boosted by strong contributions from the currency sector. The rebound in July demonstrates that CTAs continue to deliver positive performance, and gives reasons for optimism 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 index 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.