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Newedge: Challenging market conditions impact CTA performance

First Published 11th September 2015

All Newedge managed futures indices posted negative performance in August.

James Skeggs, Societe Generale Prime Services

James Skeggs, Societe Generale Prime Services

"It will be interesting to see how CTAs fare for the rest of the quarter as markets prepare the Fed's rate announcement next week."

London - Societe Generale Prime Services has announced the August performance data for its Newedge CTA indices.

Following a strong start to the second half of the year which saw the Newedge CTA Index rise over 3% in July, challenging market conditions resulted in a difficult month and all CTAs ended August in negative territory, according to the indices calculated by Societe Generale Prime Services.

The Newedge CTA Index declined -1.89% during the month of August, posting slightly negative year-to-date performance -1.19%.

Performance attribution data from the Newedge Trend Indicator shows mixed contributions from different sectors for trend following strategies. The slightly positive contribution from the currency sector (+0.37%) was more than offset by negative contributions from the bond and commodity sectors, showing respectively -1.26% and -1.19% performance for the month.

The currency sector continues to generate positive performance year-to-date, contributing +2.37%, followed by the equity sector +1.53%, since the beginning of the year.

James Skeggs, global head of Alternative Investments Consulting at Societe Generale Prime Services, said: "August was a challenging month for many CTA strategies, eroding around half of July's gains. The difficult market conditions had a negative impact on CTA returns with small currency sector gains erased by losses in the bond and commodity sectors.

"It will be interesting to see how CTAs fare for the rest of the quarter as markets prepare the Fed's rate announcement next week."


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.

For further information regarding the calculation of the Newedge indices please see www.newedge.com

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