From Newedge, the prime services division of Societe Generale
CTAs exit drawdown, setting new high watermarks in November 2014
Managed futures enjoyed a stellar November, with all of the Newedge indices posting the fourth consecutive positive monthly return in a row. The Newedge CTA Index, with a performance of +5.62% for November, posted a new high watermark during the month. The CTA Index had been underwater since May 2011.
Trend following strategies continued to lead performance, with the Newedge Trend Index returning +7.29% for the month, the largest monthly performance gain since 2008. The Newedge Trend Index also set a new high watermark at the end of November. The Newedge Trend Indicator also had another positive month, showing +10.40% for November, bringing 2014 YTD performance to +32.79%.
Data from the Newedge Trend Indicator shows that the main performance drivers during the month of November were the currency, bond and commodity sectors. Currency exposure boosted performance by 4.21%, while bonds accounted for 3.40% of returns posted.
James Skeggs, Global Head of Advisory Group at Newedge, said that November was a strong month for each of the Newedge indices, in particular the Newedge Trend Index which enjoyed its best monthly return in six years. The Newedge CTA Index and Newedge Trend Index both built on earlier gains, and set new equity highs at the end of November.
He said “trend following strategies continued to benefit from sustained trends in bond and currency markets in November. In addition, existing downward trends in Crude and oil products meant CTAs benefitted from a re-pricing at the end of November.”
|Index||November Return||YTD Return|
|Newedge CTA Index||+5.62%||+13.81%|
|Newedge Trend Index||+7.29%||+16.95%|
|Newedge Trend Indicator||+10.40%||+32.79%|
|Newedge Short-Term Traders Index||+3.19%||+9.56%|
The Newedge CTA Index, which is 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 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 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 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. Newedge’s Alternative Investment Solutions Group, part of Newedge’s Prime Clearing Services, is an innovator in providing investors with benchmarking tools that represent key hedge fund strategy styles.