CTAs push on higher in October with more positive returns


October saw all the Newedge managed futures indices post positive returns for the third consecutive month, extending the positive performance in 2014 YTD.

Trend-following strategies continue to drive returns, with the Newedge Trend Index returning +1.76% for the month.  The Newedge Trend Indicator also posted another positive month, showing +1.83% for October, bringing 2014 YTD performance to +20.29%.

Data from the Newedge Trend Indicator shows that both the bond and currency sectors were the main drivers of portfolio performance in October, with bonds contributing +2.70% and currencies +1.69%. The commodity sector built on September gains and showed +0.65% positive performance, but still remains in negative territory for the year so far.

James Skeggs, Global Head of Advisory Group at Newedge, said: “We have seen strong CTA performance during the past three months, which is driving a resurgence of investor interest in managed futures. Trend following and Short-term trading strategies have done well recently, with such funds continuing to benefit from increased market volatility.”

IndexOctober ReturnYTD Return
Newedge CTA Index+1.63%+7.76%
Newedge Trend Index+1.76%+9.00%
Newedge Trend Indicator+1.83%+20.29%
Newedge Short-Term Traders Index+1.67%+5.99%

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.

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CTAs push on higher in October with more positive returns

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