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Managed futures

CTA performance moves back into positive territory

Mon, 21/07/2014 - 16:00

All managed futures indices calculated by Newedge showed positive returns for the month of June with trend followers leading the pack with a return of +1.25 per cent.

The Newedge CTA index is back to positive territory YTD returning +1.06 per cent, rising +0.48 per cent in the month of June.
 
Using attribution data from the Newedge Trend Indicator, currencies were the best performing sector, contributing +2.68 per cent at the portfolio level and bringing YTD performance in the sector to +1.99 per cent.
 
Bonds also contributed to the positive June gaining +0.66 per cent, while commodities continued their negative trend with returns of -1.60 per cent, bringing the sector YTD contribution down to -6.17 per cent.
 
The Newedge CTA Index, which is equally 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 equally 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 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. 


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