Newedge Commodity CTA Index Crosses 20% in Year-to-Date Performance

Leading financial services firm, Newedge, has reported its commodity CTA performance data for October. Overall results were in the green as managers embraced the recent tide in global markets. The firm saw a sharp U-turn in trend following strategies contributing the most to the increase in performance. Newedge’s Trend Index returned +1.76% for the month, in addition, the Newedge Trend Indicator posted positive data, showing +1.83% for October, thus bringing the current year’s performance above the formidable twenty percent market to +20.29%.

A much needed dose of Volatility Volatility In finance, volatility refers to the amount of change in the rate of a financial instrument, such as commodities, currencies, or stocks, over a given time period. Essentially, volatility describes the nature of an instrument’s fluctuation; a highly volatile security equates to large fluctuations in price, and a low volatile security equates to timid fluctuations in price. Volatility is an important statistical indicator used by financial traders to assist them in developing trading systems. Trad In finance, volatility refers to the amount of change in the rate of a financial instrument, such as commodities, currencies, or stocks, over a given time period. Essentially, volatility describes the nature of an instrument’s fluctuation; a highly volatile security equates to large fluctuations in price, and a low volatile security equates to timid fluctuations in price. Volatility is an important statistical indicator used by financial traders to assist them in developing trading systems. Trad Read this Term in global financial markets has boosted the returns on the Newedge CTA index. The latest figures support the continuing trend of strong performance as reported under the benchmark index.

Details issued by Newedge show that both the bond and currency sectors were the main drivers of portfolio performance in October, with bonds contributing +2.70% and currencies +1.69%. The commodity sector built on September gains and showed +0.65% positive performance, but still remains in negative territory for the year so far.

James Skeggs, pictured, Global Head of Advisory Group at Newedge, commented about the results, he said: “We have seen strong CTA performance during the past three months, which is driving a resurgence of investor interest in managed futures. Trend following and short-term trading strategies have done well recently, with such funds continuing to benefit from increased market volatility.”

The commodity markets were racing against key fundamental data last month. During October, the two main precious metals saw reasonable fluctuations, both gold and silver dropping by -4.3% and -4.9% to $1164.25 and $16.13 respectively, the moves coming on the back of news from Japan and the EU, with the Bank of Japan’s and European Central Bank’s growth policies and by traders sentiment on interest rates.

Additionally, with the yellow metal in a state of turmoil with miners, gold funds and miners are in turmoil, with losses in the area of -20% in October following losses of a similar magnitude in September.

Newedge’s benchmark indices and indicators are used by participants to assess the performance of key financial instruments. The Newedge CTA Index, which is weighted, calculates the daily rate of return for a pool of the largest 20 CTAs who are willing to provide daily returns and are open to new investment. Both indices are rebalanced and reconstituted annually. 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.