ENP Newswire -
Release date- 12082014 -
All managed futures indices calculated by
Trend followers had a difficult July, bringing the Newedge Trend Index down to -1.06%, increasing the negative performance of the year to -1.76%.
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% and bringing the year-to-date performance to +1.79%. In contrast, the positive trend seen in currencies during the month of June reversed in July with a decline of -2.37%, bringing the sector contribution down to -0.39% YTD.
Newedge CTA Index
Newedge Trend Index
Newedge Trend Indicator
Newedge Short-Term Traders Index
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.
Newedge, a world-leading derivatives broker, is 100% owned and controlled by Societe Generale.
Able to draw on multi-asset capabilities and an agency model, it plays a pivotal role in the fully-integrated global markets proposition offered to clients that includes research; bespoke investment solutions and hedging; access to more than 85 exchanges; agency execution; an industry-leading clearing proposition (listed and OTC); financing; and award-winning prime brokerage, including cross-margining capabilities.
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This document is for information purposes only, subject to change without notice and is not to be construed as an offer to buy or sell any financial instruments or securities. If this material is generated by or on behalf of Newedge
All information, prices or projections are subject to change without notice.
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