NilssonHedge provides a CTA/Managed Futures index, based on the average returns of the underlying managers. We do not provide backtracked returns nor do we allow for “instant track-records”. Managers are included that existed in the database, in December, the prior year.
The purpose of the index is to track fund that are reporting data publically and may thus exclude certain managers that have chosen not to do so.
Managed Futures or CTAs is commonly a Futures based trader. Most of them are leveraged and do typically deploy some quantitative strategies. The main strategy for CTAs is trend following strategies, although there exists a broad range of diversifying strategies, including Global Macro, a discretionary or systematic interpretation of macro data.
The index is based on managers that are part of the database as of the end of the prior year. We do not impose minimum requirements on track-records or aum for this subset. Managers that drop out of the index are replaced with the average return of the index.
For a list of the 2019 index constituents click here.
For a list of the 2020 index constituents click here.