I decided to compare my performance to a second Newedge CTA index this time – the Newedge Trend Indicator. From Newedge’s site, here are descriptions of the two Newedge indexes which appear further below in my chart:
- Newedge CTA Index – The Newedge CTA Index is equal-weighted and reconstituted annually and has become recognized as the key managed futures performance benchmark. The index calculates the net daily rate of return for a pool of CTAs selected from the largest managers open to new investment.
- Newedge Trend Indicator – The Newedge Trend Indicator is a market based performance indicator designed to have a high correlation to the returns of trend following strategies.
Detailed information on the Newedge indexes is available here.
As per the above chart, on August 09 my ETF Trend Trading was slightly ahead of the two Newedge indexes. I realize that I am not hitting the ball out of the park but I am outperforming funds with combined assets of billions of dollars. That’s not so bad now is it?
FJP
