The Newedge Commodity Trading Index finished August up 0.92 per cent, completing a recent run of three consecutive positive months.
Over the same period, the CTA and CTA Trend-Sub Indices finished down 1.68 per cent and 1.87 per cent respectively.
Sector performance data from the Newedge Trend Indicator reveals commodity and currency sectors may have contributed to this difficult run for systematic strategies.
The Newedge CTA Index’s top performers for the month of August included: Armajaro Commodities Fund: est. +3.58 per cent; Quantitative Investment Mgmt. (Global): +0.52 per cent; and Graham Capital Mgmt. (Discretionary – 6V): est. +0.27 per cent.
The Newedge STTI’s top performers for the month of August included: Quantitative Investment Mgmt. (Global): est. + 0.52 per cent; Ion Fund: est. + 0.30 per cent; and Kaiser Capital (Global Diversified): est. -0.34 per cent.