Newedge launches additional absolute return indices

Newedge launches additional absolute return indices

Newedge has launched a range of indices covering global macro and commodity trading strategies.

The new set of indices will be published and maintained by Newedge's prime brokerage group in addition to the existing Newedge Volatility Trading Index.

It will contain the following headline strategy indices:  Newedge Macro Trading Index (Newedge MTI) and Newedge Commodity Trading Index (Newedge CTI).

The brokerage firm has also developed a group of strategy specific sub-indices comprising: Newedge MTI - Quantitative; Newedge MTI - Discretionary; Newedge CTI - Trading Strategies; and Newedge CTI - Equity Strategies.

The aim of the new indices is to accurately represent on a strategy specific basis the performance of all the trading strategies, whether available through either onshore or offshore fund structures, as well as managed accounts that are reported to the statistical reporting team of Newedge Prime Brokerage Group.

Performance will be calculated using an equal weighted methodology, and will be reported on a monthly basis.

'Such indices are broad based and designed to provide investors with benchmarking tools that can accurately represent each strategy style at a time of increasing relevance for diversification of return production,' says Philippe Teilhard, global head of prime brokerage at Newedge Group (pictured).

To be eligible for inclusion as an index constituent, managers must predominantly trade either a global macro or commodity strategy, provide monthly performance data to the statistical reporting team of the Newedge prime brokerage group, and have more than USD30m in group assets under management. Both the estimated and finalised index values will be published and distributed on a monthly basis.

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