Newedge says the AlternativeEdge Short-Term Traders Index finished the month of March down 2.19 percent (-1.34 percent YTD), while the CTA Index posted its first negative month since Au
Newedge says the AlternativeEdge Short-Term Traders Index finished the month of March down 2.19 percent (-1.34 percent YTD), while the CTA Index posted its first negative month since August of 2008.
The CTA Index was down 2.41 percent in March and is down 2.12 percent YTD.
March proved to be a difficult environment for both long- and short-term trading strategies. Among the 27 constituents of the STTI, three posted positive performance: Banyan Capital Management, Cabana Capital Management and Crabel Capital Management (Multi-Product).
Similarly, only two of the 20 Newedge CTA Index constituents posted positive performance: QFS Asset Management (QFS Currency) and Eagle Trading Systems (Yield).
"March was a unique month in that there were a large number of managers that posted negative returns but the depth of drawdown remained relatively shallow," says Brian Walls, chairman of the Newedge Index Committee.
The AlternativeEdge Short-Term Traders Index, developed by the alternative investments group led by Walls and Leslie Richman, is designed to track the daily performance of a portfolio of short-term, diversified CTAs who have less than a ten-day average holding period, are willing to provide daily returns and are open to new investment.
The Newedge CTA Index, which is equally weighted, calculates the daily rate of return for a pool of the largest CTAs that are willing to provide daily returns and are open to new investment.
