Newedge has announced the 2014 constituents for the CTA, Trend, and Short-Term Traders Indices.
Newedge CTA Index (* new for 2014)
Aquila Capital (AC Risk Parity 12) *
Aspect Capital (Diversified)
Boronia Capital (Diversified)
Brevan Howard Systematic Trading (B)
Campbell Managed Futures
Cantab Capital Partners (CCP Quant Fund Aristarchus) *
Crabel Capital Management (Multi-Product A) *
Eagle Trading Systems (Global) *
FDO Partners (Emerging Markets Quant Currency)
GMO Australia (Global Macro Trust)
Graham Capital Mgmt. (K4D-15V)
H2O Asset Management (Force 10) *
Harmonic Capital (Alpha Plus Macro) *
Lynx Asset Management (Lynx Bermuda D)
Man Investments (Man AHL Diversified Plc)
Ortus Capital (Currency)
Informed Portfolio Management (IPM Systematic Macro) *
Skandinaviska Enskilda (SEB Asset Select)
Transtrend (DTP Enhanced Risk)
Winton Capital Mgmt. (Futures)
Newedge Trend Index (* new for 2014)
Aspect Capital (Diversified)
Brevan Howard Systematic Trading (B)
Campbell Managed Futures
Eagle Trading Systems (Global) *
Graham Capital Mgmt. (K4D-15V)
Lynx Asset Management (Lynx Bermuda D)
Man Investments (Man AHL Diversified Plc)
Millburn Ridgefield Corp (Diversified) *
Transtrend (DTP Enhanced Risk)
Winton Capital Mgmt. (Futures)
Newedge Short-Term Traders Index (* new for 2014)
Amplitude Capital (Klassik A)
Boronia Capital (Diversified)
Conquest Capital (Macro Composite)
Crabel Capital Management (Multi-Product A)
Kaiser Trading Group (2x SPC)
Mesirow Financial Commodities Management (Absolute Return)
Mondiale Asset Management (Trading Program) *
QuantMetrics Capital Management (Directional 2x) *
RG Niederhoffer (Diversified)
Revolution Capital (Mosaic I)
The Newedge CTA Index, which is equally weighted, calculates the daily rate of return for the largest 20 CTAs (ranked by assets under management) that are willing to provide daily returns and are open to new investment. The index is rebalanced annually.
The Newedge Trend Index, which is equally weighted, calculates the daily rate of return for the largest ten trend following based CTAs (ranked by assets under management) that are willing to provide daily returns and are open to new investment. The index is rebalanced annually.
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.
