Based on Daily Data, we are now able to show an indication of daily performance for listed managed futures funds. At year-end, this will be transformed into a proper index and we will start publishing numbers for the index. This index will have a set of constituents that will be disclosed at the beginning of the year, based on currently existing funds, thus it will be transparent and replicable, but perhaps not investable.
In general, the barometer will show more muted returns compared to other indices or managers in our database. This is partially due to the way we construct the index, using all available share classes, which sometimes has less than appealing fees.
The underlying daily database is available on a beta basis and can be downloaded from the member area. The barometer can be found here: https://nilssonhedge.com/index/daily-cta-index/
The NilssonHedge indices can be accessed here. Sign up for the underlying database here (free).
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