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CTAs bounce back to post positive performance in August

First Published 10th September 2014

All Newedge managed futures indices showed strong positive performance over the month. Trend followers in particular doing well.

Chicago/London - Following a tough month for returns in July, all managed futures indices calculated by Newedge reported positive performance in August. The strong month means that all Newedge managed futures indices are also now in positive territory for 2014 year-to-date.

Trend following strategies experienced particularly strong gains in August. The Newedge Trend Index rebounded from a -1.06% return in July to show +5.40% for the month, while the Newedge Trend Indicator posted +10.89% for the month.

James Skeggs, global head of Advisory Group at Newedge, said: "August has proven to be a solid month for all managed futures strategies, with trend followers in particular doing well. There are good reasons to be optimistic about returns for CTAs, with 2014 YTD performance back in the black, and we are seeing more investors becoming interested in the space again."

Performance attribution data from the Newedge Trend Indicator, a market-based performance indicator designed to have a correlation to the returns of trend following strategies, shows that the currency sector and bond sector contributed to the positive performance. The commodity sector made small gains in August, but remains negative for 2014 so far.

Index

August Return

YTD Return

Newedge CTA Index

+3.89%

+3.97%

Newedge Trend Index

+5.40%

+3.55%

Newedge Trend Indicator

+10.89%

+1.26%

Newedge Short-Term Traders Index

+1.53%

+3.09%

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 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.

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