After a dip in October, CTA strategies posted positive returns across the board in November 2015, and Newedge’s CTA and Trend indices are are showing a positive year-to-date performance.
The Newedge CTA index was up 2.71 per cent in November bringing year-to-date performance back into positive territory, to 1.44 per cent.
Short Term Traders Index returns also produced significantly positive returns of 2.37 per cent, marking the best return since January this year.
Trend followers led performance in November, with the Newedge Trend Index ending up 3.41 per cent. The index leads with the strongest year-to-date returns compared to other indices, up 2.26 per cent.
The Newedge Trend indicator lagged performance of the Newedge Trend Index, but is still positive and up by 0.79 per cent for November and adds to overall positive performance.
Performance of the indicator was driven mainly by returns in the commodity sector, contributing 1.31 per cent. Returns were helped by currencies, which were up 0.68 per cent. The performance of these asset classes helped offset losses in bonds, interest rates and equity indices, returning -0.62 per cent, -0.21 per cent and -0.18 per cent respectively.
James Skeggs (pictured), Global Head of Alternative Investments Consulting at Societe Generale Prime Services, says: “November was a positive month for all CTA strategies, after a challenging October and an overall volatile year. Commodities and currencies produced positive returns in November, with 15 out of the 17 Commodity markets positioned short.”
The Newedge CTA Index, which is equally weighted, calculates the daily rate of return for a group of the largest 20 CTAs that are willing to provide daily returns and are open to new investment.
The Newedge Trend Index, which is equally weighted, calculates the daily rate of return for a group of the largest 10 trend-following based CTAs that are willing to provide daily returns and are open to new investment. Both indices are rebalanced and reconstituted annually.
The Newedge Trend Indicator is a market based performance indicator designed to have a high and stable correlation to the returns of trend following strategies.
The Newedge Short-Term Traders Index is designed to track the daily performance of a group 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.
