Newedge, a company engaged in brokerage, launches a new range of Absolute Return Indices covering Global Macro and Commodity Trading strategies.
The new set of indices will be published and maintained by Newedge’s Prime Brokerage Group in addition to the existing Newedge Volatility Trading Index (Newedge VTI), and will contain the following headline strategy indices:
– Newedge Macro Trading Index (Newedge MTI)
– Newedge Commodity Trading Index (Newedge CTI).
In addition to the above headline indices, Newedge has also developed a group of strategy specific sub-indices for the above strategies including:
Newedge MTI – Quantitative;
Newedge CTI – Trading Strategies
Newedge MTI – Discretionary;
Newedge CTI – Equity Strategies
The objective of the new indices is to accurately represent on a strategy specific basis the performance of all the trading strategies, whether available through either onshore or offshore fund structures, as well as Managed Accounts that are reported to the Statistical Reporting team of Newedge Prime Brokerage Group. Performance will be calculated using an equal weighted methodology, and will be reported on a monthly basis.
In order to be eligible for inclusion as a constituent program, individual programs must meet the following criteria:
– Predominantly trade a relevant (either Global Macro or Commodity) strategy
– Provide monthly performance data to the Statistical Reporting team of Newedge Prime Brokerage Group
– AUM must be greater than $ 30 million
Both the estimated and finalised Index Values will be published and distributed on a monthly basis and the data will also be available on the Newedge Group website.
“Such indices are broad based and designed to provide investors with benchmarking tools that can accurately represent each strategy style at a time of increasing relevance for diversification of return production,” says Philippe Teilhard, global head, Prime Brokerage, Newedge Group.
L.D.