- Alternative Investments and AlternativeEdge Indices
- Newedge CTA Index
- AlternativeEdge Short-Term Traders Index
- AlternativeEdge Research Notes
Alternative Investments and AlternativeEdge Indices
The Newedge Alternative Investment Group (AIG) is a global team with strong industry knowledge and operational skills, providing comprehensive, integrated services to its clients. AIG has built relationships across CTAs, Global Macro hedge funds, institutional investors, pension funds and family offices.
AIG performs in-depth analysis of derivative-related topics in conjunction with the Newedge Research department and produces an exclusive series of AlternativeEdge research reports.
AIG has also developed several CTA indices in response to investor inquiries, client suggestions and the Research group's ongoing pursuits.
Newedge CTA Index
The Newedge CTA Index, which is equal weighted, calculates the daily rate of return for a pool of CTAs selected from the larger managers that are open to new investment.
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AlternativeEdge Short-Term Traders Index
The Alternative Edge Short-Term Traders Index is designed to track the daily performance of a portfolio of short term CTAs.
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AlternativeEdge Research Notes
How important are daily return data? (April 2003)
"Our research indicates that under the right circumstances, daily data allow you to get a better picture of the volatility of a manager's returns - both clearer and faster - than you can get from monthly data. And, since volatility is such an important ingredient in risk management and portfolio construction, it can be worth a lot to have daily returns."
Understanding drawdowns (September 2003)
"What we show here is that the three most important determinants of drawdowns are length of track record, mean return, and volatility of returns. The acid test, we think, is our simulated drawdown distributions do a very good job of explaining the kinds of drawdown patterns that CTAs have exhibited over the past 10 years."
What you should expect from trend following (July 2004)
"We have assembled the data and written the programs necessary to determine the basic profit and loss characteristics of the two most widely used trend following systems - moving average crossover and range breakout. The purpose of this note is to explain the steps involved in constructing a database of trend following profits and losses. The note also serves as an explanatory guide to a new report that shows how these two kinds of trend following systems have worked in a wide range of futures markets."
Every drought ends in a rainstorm (February 2006)
"When is the best time to give a manager money? To take money away? Although the most common statement on marketing collateral is 'Past returns may not be indicative of future results,' the most common metric for manager selection and portfolio construction remains past returns. At the heart of this problem is the question of whether any aspect of a manager's future returns - mean, volatility, or correlation with other manager's returns - depends in any way on past returns. The main focus of this note looks to find any evidence that returns are anything other then serially independent."
Measuring market impact and liquidity (May 2006)
"Poor execution can turn a good idea into a losing trade. Skilled traders (and their brokers) use their knowledge and experience to balance the immediacy of a transaction with the liquidity available in the market. We have invested heavily in gathering a market depth database that allows us to observe the limit order book in nearly continuous time and to track the flow of actual trades. The purpose of this note is to show the steps that we have taken in using these data sets to produce useable market impact profiles for use in designing cost efficient trading programs."
Superstars versus teamwork (September 2006)
"One of the most powerful tensions in the world of money management is in the pull between assets that perform well on their own and portfolios that perform well. Even the most casual students of finance know about the importance of diversification. But as soon as any one asset turns in bad performance, the temptation is to dump that asset and replace it with something that performs better is nearly irresistible. What we found in this research is that portfolios of team players outperformed portfolios of superstars."
There are known unknowns (September 2007)
"Perhaps the one thing that everyone in the investment business might be able to agree on is that the only free lunch in town is the risk reduction we can achieve through diversification. The main objective of this note is to determine just what we can reasonably expect when we build a portfolio with an eye to improving its performance. Active money managers who hope to make a living by selling us a better lunch face some serious challenges."
The cost of active management (November 2007)
"The purpose of this note is to evaluate some of the obvious costs of active money management and to put them in perspective. In particular, we examine foregone loss carry forward, dormant cash, opportunity losses, and slippage from transaction costs from the perspectives of those who invest in funds and those who invest in managed accounts."
Access to the AlternativeEdge Research Notes and in-depth information on the CTA indices is available to qualified users who contact the Alternative Investments Group (alternativeedge@newedgegroup.com).
