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Short Term Traders lead CTA returns in February

Year-to-date returns for all CTA indices remain in positive territory

Year-to-date returns for all CTA indices remain in positive territory

London, 5th March 2015 -- Societe Generale Prime Services today announces the February performance data for its Newedge CTA performance indices. 

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, said:

“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.

“CTAs still remain firmly in the black with each of the indices posting positive year-to-date returns.”

 

 Index

February Return

YTD Return

 

 

 

Newedge CTA Index

-0.27%

+4.02%

Newedge Trend Index

-0.14%

+4.94%

Newedge Trend Indicator

-3.72%

+4.45%

Newedge Short-Term Traders Index

+0.14%

+3.31%

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 Societe Generale Prime Services, is an innovator in providing investors with benchmarking tools that represent key hedge fund strategy styles.