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CTAs end the year with five months of positive performance

First Published 21st January 2015

Societe Generale Corporate & Investment Banking: Positive performance since August sets new monthly and annual high water marks.

James Skeggs, global head of Alternative Investment Solutions, SG Newedge UK

James Skeggs, global head of Alternative Investment Solutions, SG Newedge UK

"The latter part of 2014 was a very positive period for managed futures, with both monthly and annual new high watermarks being registered."

London - Societe Generale Corporate & Investment Banking (SG CIB) has announced the December performance data for its Newedge CTA performance indices, as well as the constituents of the indices for 2015.

Managed futures continued their run of positive performance, with all of the indices posting positive returns for the fifth consecutive month.

The Newedge CTA Index, with a performance of +1.56% for December, ended the year with a return of +15.58%.

Trend following strategies continued once again to lead performance, with the Newedge Trend Index returning +2.52% for the month, ending the year with the largest gain since 2008 (+19.75% YTD).

The Newedge Short-Term Traders Index also showed positive returns in December (+0.40%), completing its second best year since inception (+9.95% YTD).

December's positive returns continued to be driven mainly by the currency, bond and commodity sectors. Currency trends boosted performance of the Newedge Trend Indicator by +2.34%, while commodities and bonds accounted for +1.92% and +1.42% respectively.

James Skeggs, Global Head of Alternative Investment Solutions at SG Newedge UK Limited, said: "The latter part of 2014 was a very positive period for managed futures, with both monthly and annual new high watermarks being registered.

"Trend following strategies continued to benefit from sustained movements in commodity, bond and currency markets in December. The equities and interest rates sectors proved slightly more challenging.

"Furthermore, we have completed our annual rebalance process for the CTA Indices, which sees only four changes to the constituents of the flagship Newedge CTA Index. Two of these are returning to the index, and we welcome AQR and Premium Currency Advisors. The asset cut-off for 2015 was $710m."

The Newedge Index Committee has performed the annual reconstitution and rebalance for the CTA indices. From 1st of January 2015 the new index constituents are as follows:


Newedge CTA Index (* new for 2015)

· AQR Capital Mgmt. (Managed Futures Offshore)*

· Aspect Capital (Diversified)

· Boronia Capital (Diversified)

· Campbell & Company (Campbell Managed Futures)

· Cantab Capital Partners (CCP Quant Fund Aristarchus)

· Crabel Capital Management (Multi-Product A)

· FDO Partners (Emerging Markets Quant Currency)

· Graham Capital Mgmt. (K4D-15V)

· H2O Asset Management (Force 10)

· Harmonic Capital (Alpha Plus Macro)

· Informed Portfolio Management (IPM Systematic Macro)

· Kaiser Trading Group Pty Ltd (Trading Fund 2X SPC)*

· Lynx Asset Management (Lynx Bermuda D)

· Man Investments (Man AHL Diversified Plc)

· Millburn Ridgefield Corp (Diversified Program)*

· Ortus Capital Mgmt. (Currency)

· Premium Currency Advisors (Premium Currencies Plus)*

· SEB Asset Mgmt. (SEB Asset Selection)

· Transtrend BV (DTP Enhanced Risk)

· Winton Capital Mgmt. (Futures Fund)


Newedge Trend Index (* new for 2015)

· AQR Capital Mgmt. (Managed Futures Offshore)*

· Aspect Capital (Diversified)

· Campbell & Company (Campbell Managed Futures)

· Graham Capital Mgmt. (K4D-15V)

· Lynx Asset Management (Lynx Bermuda D)

· Man Investments (Man AHL Diversified Plc)

· Millburn Ridgefield Corp (Diversified Program)

· SEB Asset Mgmt. (SEB Asset Selection)*

· Transtrend BV (DTP Enhanced Risk)

· Winton Capital Mgmt. (Futures Fund)

Newedge Short-Term Trader Index (* new for 2015)

· Amplitude Capital (Klassik A)

· Boronia Capital (Diversified)

· Centurion IM (Short Term Systematic Trading Fund)*

· Conquest Capital (Macro Composite)

· Crabel Capital Mgmt. (Multi-Product A)

· Kaiser Trading Group Pty Ltd (Trading Fund 2X SPC)

· QuantMetrics Capital Mgmt. (Directional 2x)

· R. G. Niederhoffer (Diversified)

· Revolution Capital (Mosaic I)

· SCT Capital Mgmt. (Adaptive Quant Trading)

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.

SG Newedge UK Limited's Alternative Investments Solutions Group, part of the Prime Services business of the Global Markets Division of SG CIB, is an innovator in providing investors with benchmarking tools that represent key hedge fund strategy styles.

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