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Newedge releases 2016 constituents of CTA hedge fund indices

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Societe Generale Prime Services has announced the 2016 constituents for the Newedge CTA, Trend, and Short-Term Traders Indices.

The Newedge CTA indices are a suite of performance benchmarks, based on the largest CTA programs. The indices calculate the daily rate of return for an equally weighted group of the largest CTAs (by assets) that are open to new investment, and provide daily data. The new constituents will be effective as of 1 January 2016.
 
James Skeggs (pictured), Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “We are delighted to have completed our annual constituent review process for our CTA Indices. To reflect changes in the evolving CTA industry landscape, there are seven changes to the constituents of the flagship Newedge CTA Index. One of these is returning to the index, ISAM; another is a rotation of strategy, FDO; whilst the other four, AlphaSimplex, FORT, QMS and Systematica we are delighted to welcome. The asset cut-off for 2016 was USD980 million.
 
“There is also slightly above average turnover in the Newedge Short Term Traders Index, with three new constituents – Dynamic, Jefferies, Quest – and another rotation of strategy, QuantMetrics. The asset cut-off for 2016 was USD203 million.”
 
Newedge CTA Index (* new for 2016)
 
AQR Capital Mgmt. (Managed Futures Offshore)*
AlphaSimplex Group (Managed Futures)*
Aspect Capital (Diversified)
Boronia Capital (Diversified)
Campbell & Company (Campbell Managed Futures)
Cantab Capital Partners (CCP Quant Fund Aristarchus)
Crabel Capital Management (Multi-Product A)
FDO Partners (Global Quant Currency)*
FORT LP (Global Contrarian)*
First Quadrant LP (Tactical Currency Allocation  L/S)*
Graham Capital Mgmt. (K4D-15V)
Informed Portfolio Management (IPM Systematic Macro)
ISAM LLP (Systematic Trend)*
Lynx Asset Management (Lynx Bermuda D)
Man Investments (Man AHL Diversified Plc)
Millburn Ridgefield Corp (Diversified Program)
QMS Capital Mgmt. (Diversified Global Macro)*
SEB Asset Mgmt. (SEB Asset Selection)
Systematica Investments (BlueTrend)*
Transtrend BV (DTP Enhanced Risk)
 
Newedge Trend Index (* new for 2016)
 
AQR Capital Mgmt. (Managed Futures Offshore)*
AlphaSimplex Group (Managed Futures)*
Aspect Capital (Diversified)
Campbell & Company (Campbell Managed Futures)
Graham Capital Mgmt. (K4D-15V)
Lynx Asset Management (Lynx Bermuda D)
Man Investments (Man AHL Diversified Plc)
SEB Asset Mgmt. (SEB Asset Selection)
Systematica Investments (BlueTrend)*
Transtrend BV (DTP Enhanced Risk)
 
Newedge Short-Term Trader Index (* new for 2016)
Amplitude Capital (Klassik A)
Boronia Capital (Diversified)
Centurion IM (Short Term Systematic Trading Fund)
Crabel Capital Mgmt. (Multi-Product A)
Dynamic Capital Mgmt. (Dynamic Offshore Fund)*
Jefferies Investment Advisers (Managed Futures Fund)*
Kaiser Trading Group Pty Ltd (Trading Fund 2X SPC)
QuantMetrics Capital Mgmt. (Multi Strategy Fund)*
Quest Partners (AlphaQuest – Original Program)*
R G Niederhoffer (Diversified)
 
The Newedge CTA Index, which is equally weighted, calculates the daily rate of return for a group of the largest 20 CTAs that are willing to provide daily returns and are open to new investment.
 
The Newedge Trend Index, which is equally weighted, calculates the daily rate of return for a group of the largest 10 trend-following based CTAs that are willing to provide daily returns and are open to new investment. Both indices are rebalanced and reconstituted annually.
 
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 group 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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