AlternativeEdge Snapshot

CTA Performance in H1 2014

The latest AlternativeEdge Snapshot analyses the performance of CTA strategies during first half of 2014. The report takes a closer the performance of the Newedge CTA Index since March, and concludes there may be the beginning of a recovery in the strategy. Click image to open.

Newedge Indices

Daily Indices

Index
Date
Return
MTD
YTD
Details
Newedge CTA Index
        View

The Newedge CTA Index is equal-weighted and reconstituted annually and has become recognized as the key managed futures performance benchmark. The index calculates the net daily rate of return for a pool of CTAs selected from the largest managers open to new investment.

Bloomberg: NEIXCTA Index

Downloads: Methodology | Constituents | Monthly Report | Historical Returns

Newedge Trend Index
        View

The Newedge Trend Index is equal-weighted and reconstituted annually. The index calculates the net daily rate of return for a pool of trend following based hedge fund managers.

Bloomberg: NEIXCTAT Index

Downloads: Research Note | Methodology | Constituents | Monthly Report | Historical

Newedge Trend Indicator
        View

The Newedge Trend Indicator is a market based performance indicator designed to have a high correlation to the returns of trend following strategies.

Bloomberg: NEIXTRND Index

Downloads: Research Note | Historical Returns

Newedge Short Term Traders Index
        View

The Newedge Short-Term Traders Index is designed to track the daily performance of a portfolio of CTAs and Global Macro managers executing diversified trading strategies with a less than 10-day average holding period.

Bloomberg: NEIXSTTI

Downloads: Methodology | Constituents | Monthly Report | Historical Returns


Monthly Indices

Index
Date
Return
YTD
Details
 
Newedge Macro Trading Index
      View  
Newedge Macro Trading Index (Quantitative)
         
Newedge Macro Trading Index (Discretionary)
         

The Newedge Macro Trading Index is a broad based performance measure for constituents that trade Global Macro strategies. These managers may typically employ top-down fundamental research to forecast the effect of global macroeconomic and political events on the valuation of financial instruments and are frequently focused on a diversified basket of instruments.

In order to be eligible for inclusion as a constituent program, individual programs must predominately trade a relevant Global Macro strategy, provide monthly performance data, and have AUM greater than USD 30 million.

Bloomberg: NEIXMTI Index

Downloads: Methodology | Monthly Report | Historical Returns

Newedge Macro Trading Index (Quantitative)
A sub-index of the Newedge Macro Trading Index covering the quantitative and GTAA strategies.

Downloads: Historical

Newedge Macro Trading Index (Discretionary)
A sub-index of the Newedge Macro Trading Index covering the discretionary strategies.

Downloads: Historical

Newedge Commodity Trading Index
      View  
Newedge Commodity Trading Index (Trading)
         
Newedge Commodity Trading Index (Equity)
         

The Newedge Commodity Trading Index is a broad based performance measure for constituents that trade commodity-related strategies. Commodity funds utilize a variety of investment strategies to profit from price moves in commodity markets. In order to be eligible for inclusion as a constituent program, individual programs must predominately trade a relevant Commodity strategy, provide monthly performance data, and have AUM greater than USD 30 million.

Bloomberg: NEIXCTI Index

Downloads: Methodology | Monthly Report | Historical Returns

Newedge Commodity Trading Index (Trading)

A sub-index of the Newedge Commodity Trading Index covering trading orientated strategies, typically involving the trading of physical commodity products and/or of commodity derivative instruments in either directional or relative value strategies.

Downloads: Historical

Newedge Commodity Trading Index (Equity)

A sub-index of the Newedge Commodity Trading Index covering long/short equity strategies focused on commodity related stocks.

Downloads: Historical

Newedge Volatility Trading Index
      View  

The Newedge Volatility Trading Index was the first ever performance measure for volatility trading within the Alternative Investment industry. Designed to increase awareness of volatility trading as a hedge fund strategy, and as a benchmark index for the strategy, the Newedge Volatility Trading Index is an equally weighed, non-investable index of funds that trades volatility as an asset class.

Bloomberg: NEIXVTI Index

Downloads: Methodology | Constituents | Monthly Report | Historical Returns



Feature News

Commodity Hedge Funds’ Positive Performance Brought to a Halt

Newedge Commodity Trading Index enters negative territory for July, but is still positive YTD

Newedge announced the performance for its suite of hedge fund indices for the month of July.

[read full article]


Market Leadership

wsl_2014
HFM
FOW
CTA
Risk_EnergyRisk