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Short term traders lead CTA returns in February

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The Newedge Short-Term Traders Index led CTA performance in February, posting returns of +0.14% – the seventh consecutive month of positive returns. The index is now up 3.31% for the year-to-date.

Following six months of positive returns for all the Newedge CTA indices, February saw three of the four managed futures indices calculated by Societe Generale Prime Services, report negative performance. Despite this, all of Newedge’s CTA indices remain in positive territory for the year-to-date.
The Newedge CTA Index remains in positive territory for the year-to-date with a performance of +4.02% – but it fell slightly by -0.27% during the month of February.
Trend followers were flat in February, with the Newedge Trend Index slipping by 0.14%, however, its performance for the year remains positive at 4.94% – the best of the four Newedge indices.
Performance attribution data from the Newedge Trend Indicator shows that positive returns from long positions in equities contributed 2.58%. The positive trends observed from the currency and bonds sectors during January were reversed in February and contributed negatively, 1.35% and 2.02% respectively. The positive returns in equities were further offset by a 2.78% reduction from commodities.
James Skeggs, Global Head of Advisory Group at Societe Generale Prime Services, says: “All good things have to come to an end, and after six months of very strong performance that led to high watermarks for most CTAs, February saw small negative returns.

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