All managed futures indices calculated by Newedge reported negative performance in July, although the Newedge CTA Index remains in positive territory for the year at +0.14 per cent year-to-date, a decline of 0.91 per cent over the month.
Trend followers had a difficult July, bringing the Newedge Trend Index down to -1.06 per cent, increasing the negative performance of the year to -1.76 per cent.
Performance attribution data from the market-based Newedge Trend Indicator shows that the positive performance achieved during the first part of July was offset by losses at the end of the month.
Bonds continued to provide positive returns, gaining 0.13 per cent and bringing the year-to-date performance to +1.79 per cent. In contrast, the positive trend seen in currencies during the month of June reversed in July with a decline of -2.37 per cent, bringing the sector contribution down to -0.39 per cent YTD.
The Newedge CTA Index, which is equally weighted, calculates the daily rate of return for a pool of the largest 20 CTAs that are willing to provide daily returns and are open to new investment. Both indices are rebalanced and reconstituted annually.
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 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 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.
