Commodity based managers have strong February

  • Commodity Managers Post Largest Monthly Gain in Over Three Years
  • Newedge Commodity Trading Index Returns 1.78% in February

Newedge, a global leader in multi-asset brokerage and clearing, today announced the February performance for its suite of hedge fund indexes. Commodity traders, as represented by the Newedge Commodity Trading Index, saw their largest monthly gain since December 2010, returning +1.78% in February.

In addition, the Newedge Short-Term Traders Index (STTI) continued its strong run with another month of positive performance.  This marks the eleventh time in fourteen months that the STTI has delivered a positive monthly return. 

 

Index

Feb. Return

YTD Return

 

 

 

Newedge CTA Index

0.55%

-1.77%

Newedge Trend Index

0.64%

-3.90%

Newedge Trend Indicator

0.25%

-6.82%

Newedge Short-Term Traders Index

0.24%

2.68%

Newedge Macro Trading Index

0.41%

-0.57%

Newedge Macro Trading Index (Quantitative)

0.76%

-0.14%

Newedge Macro Trading Index (Discretionary)

0.21%

-0.82%

Newedge Commodity Trading Index

1.78%

2.51%

Newedge Commodity Trading Index (Trading)

1.71%

2.67%

Newedge Commodity Trading Index (Equity)

2.32%

1.92%

Newedge Volatility Trading Index

-0.06%

0.40%

 

Some of the top performing hedge funds during February included 

The Newedge CTA Index:

·       Lynx Bermuda Ltd (D): est. +4.18 percent

·       Aquila Capital (AC Risk Parity 12): est. +3.44 percent

·       Skandinaviska Enskilda (SEB Asset Sel.): est. +2.83 percent

The Newedge Trend Index:

·       Millburn Ridgefield Corp (Diversified): est. +4.41 percent

·       Lynx Bermuda Ltd (D): est. +4.18 percent

·       Winton Capital (Diversified): est. +2.50 percent

The Newedge STTI Index:

·       Mondiale Asset Management (Trading Program): est. +5.44 percent

·       Amplitude Capital (Klassik A): est. +4.08  percent

·       QuantMetrics Capital Management (Directional 2x): est. +2.98 percent

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 who have a holding period shorter than 10 days, are willing to provide daily returns and are open to new investment.

The Newedge MTI includes global macro managers who typically employ top-down fundamental research to forecast the effect of global macroeconomic and political events on the valuation of financial instruments. These strategies may be either discretionary or systematic, and are frequently focused on a diversified basket of instruments.

The Newedge Commodity Trading Index includes funds that utilize a variety of investment strategies to profit from price moves in commodity markets. Managers may typically use either (i) a trading orientated approach, typically involving the trading of physical commodity products and/or of commodity derivative instruments in either directional or relative value strategies; or (ii) Long short equity strategies focused on commodity related stocks.

The Newedge VTI is a performance measure for the volatility trading and arbitrage style within the hedge fund universe. It is an equally weighed portfolio of Volatility Trading & Arbitrage funds.

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