We have recently noted that transparency in the CTA universe has declined drastically. One of the premier daily indexes, with an extraordinary long-term history, has reduced transparency and is essentially restricted to clients.
The full index history was previously available through their webpage, from their calculation agent, and through a number of different sources. Nowadays, only a fraction of the performance is available for download (~last year), and only so on a monthly basis, rending it less useful for benchmarking.
We were notified by one of our clients, that shared the screenshot below. While NilssonHedge is not on Bloomberg, due to costs (please feel free to reach out to your Bloomberg account manager and request the data to be available through the Terminal), we offer unique access to the daily hedge fund indices through our website.
Historically, this index (or family of indices as they provided historic returns for CTA, Trend Followers, Short Term Managers, and Risk Premia strategies), has been available for transparency purposes without special arrangements. While we do not know what lies behind the decision, we know that there is one ETF seeking to replicate the index.
At NilssonHedge, we have a slightly different composition of our index (mainly more different managers), but something that historically has had a high correlation to the SG CTA Index. Our Index has a near perfect correlation, with only a small dip during the Covid crisis, where manager dispersion was high.
Our index lags the blue-chip index substantially. This is partially due to higher fees, but maybe also due to SG’s focus on the bluest of the bluest CTA in their index. We generally take everything available through fund structures which comes at higher fees.
To access our Daily Indices, do one of the following:
- On the front page, click “Get the data” from the chart on the main page of www.nilssonhedge.com
- Access it through the member library. This requires you to sign in as a member of the website. https://nilssonhedge.com/my-account/free-data/
- Add the free index data to your Data account, by completing the checkout process: https://nilssonhedge.com/product/index-data/