Nine of Newedge’s 11 hedge fund indices posted positive returns in January with the Newedge Commodity Trading Index leading the way with a gain of 6.38 per cent.
The next best performers were the Newedge Trend Index (2.68 per cent) and the Newedge Short-Term Traders Index (2.22 per cent).
The two indices to finish the month in negative territory were the Newedge Trend Indicator (-0.24 per cent) and the Newedge Volatility Trading Index (-0.31 per cent).
The Newedge Trend Index, which is equally weighted, calculates the daily rate of return for a pool of the largest ten trend following based CTAs that are willing to provide daily returns and are open to new investment. The index is rebalanced and reconstituted annually.
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 short-term, diversified CTAs who have less than a 10-day average holding period, are willing to provide daily returns and are open to new investment.
The Newedge MTI includes global macro managers who typically employ top-down fundamental research to forecast the effect of global macroeconomic and political events on the valuation of financial instruments. These strategies may be either discretionary or systematic, and are frequently focused on a diversified basket of instruments.
The Newedge Commodity Trading Index includes funds that utilize a variety of investment strategies to profit from price moves in commodity markets. Managers may typically use either (i) a trading orientated approach, typically involving the trading of physical commodity products and/or of commodity derivative instruments in either directional or relative value strategies; or (ii) Long short equity strategies focused on commodity related stocks.
The Newedge VTI is a performance measure for the volatility trading and arbitrage style within the hedge fund universe. It is an equally weighed portfolio of volatility trading and arbitrage funds.