The Newedge Trend Index fell 3.65 per cent in May, relinquishing some of the gains from March and April.
The Newedge Short-Term Trading Index finished slightly positive, extending a run of performance not seen since 2008.
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 Short-Term Traders Index is designed to track the daily performance of a portfolio of the largest ten 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.
Ryan Duncan, global co-head of Newedge’s advisory group for alternative investment solutions, says: “Performance dispersion amongst Newedge index constituents was high in May. Trend following strategies struggled as evidenced by our Trend Index and Trend Indicator. Short-term strategies continued a strong run of uncorrelated performance."