Newedge, through its Newedge Alternative Investments Group, announced the May and year-to-date performance of the AlternativeEdge Short-Term Traders Index and also extended an invitation for CTA managers to submit funds for consideration in the index, which is reconstituted and rebalanced semi-annually.
The AlternativeEdge Short-Term Traders Index is designed to track the daily performance of a portfolio of 21 futures-based strategies that are open to investment, trade at least two market sectors, and employ a short-term trading strategy with average holding periods of less than 10 days.
In addition to the Short-Term Traders Index, Newedge has developed a growing collection of indices designed to provide insights for institutional investors.
The Newedge CTA Index, which is equally weighted, calculates the daily rate of return for a pool of 20 CTAs selected from large managers open to new investment.
The AlternativeEdge Teamwork Index is an innovation in index design based on research presented in “Superstars versus Teamwork,” an AlternativeEdge research note published in September 2006. The index tracks the monthly performance of a portfolio of 20 CTAs chosen for their low correlation and 10-year combined Sharpe ratio.
“The Newedge CTA and AlternativeEdge Indices are an innovative set of benchmarks measuring general CTA rates of return as well as alternative trading strategies. They bring a high level of clarity and transparency to the fast-paced commodities and futures markets. The returns of these indices demonstrate the benefits of portfolio diversification in the current economic and market environment,” says Galen Burghardt, director of research.
Ongoing performance of the Newedge CTA and AlternativeEdge Indices will be published and distributed on a monthly basis.