Newedge Macro Trading Index posts strong September performance
The Newedge Macro Trading Index (Quantitative), which represents quantitative macro strategies, rose 2.31% in September, marking the index’s best month since July 2012.
In addition, the top YTD performer through September remains the Newedge Commodity Trading Index (Equity), which has returned 16.08% over the nine-month period.
The Newedge CTA, Trend, and Short-Term indices fared poorly in September, finishing down 0.97%, 0.59% and 2.08%, respectively.
Ryan Duncan, Global co-head of Newedge’s Advisory Group for Alternative Investment Solutions, says: “September returns of the Newedge Indices were mixed. Performance amongst constituents remains dispersed as well. In 2013, the average pairwise correlation amongst the constituents of the CTA Index is low at 0.30. In addition, top and bottom performing strategies are separated by over 22 per cent.”
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