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Commodities CTA Index

NilssonHedge provides a diversified Commodity 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 of the prior year. The managers included in the index are based on strategies that we have identified as consisting of managers that are mainly focused on commodity trading. This is using our internal classification, so managers may have a divergent opinion if they belong in the index or not.

To avoid confusion, these are managers that overwhelmingly are trading in actual commodity markets, rather than diversified managers that trade mostly financial markets. Managers in this category tend to run specialized strategies in for instance grains or metals.

Commodity Cta index monthly returns
Commodity CTA index monthly returns
Number of managers for the commodity CTA index

These managers generally deploy discretionary strategies, but there is a healthy selection of systematic managers on the list. Commodity managers typically originate from the physical side of the business and try to extract a risk premium from commercial hedgers. Moreover, we maintain sector-specific strategies, available upon request, for Metals, Energy, and Agricultural traders.

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.

The purpose of the index is to track funds that are reporting data publically and may thus exclude certain managers that have chosen not to do so.

Index Constituents

Algo CapitalEnergy
Alternative Capital AdvisorsStrategic Ag Program
Amapa Capital AdvisorsAmapa Investment Program
AquantumACS Energies
AquantumCommodity Spread
Auspice Capital AdvisorsShort Term (AST)
Blue Bar Futures Trading ManagementPrime Ag Program
Blue Bar Futures Trading ManagementU.S. Commodity Diversified
Bocken TradingDiscretionary Trading Program
Brent Trading PtyGrain Seasonal Spread Program
Cayler CapitalSystematic Energy Diversified
Cazadores InvestmentsCazadores Commodity Alpha
Commodity Asset ManagementFutures Only
Contrarian InvestorsContrarian Commodities
CoreCommodity ManagementDiversified Portable Alpha
CoreCommodity ManagementFounders Absolute Return (FAR)
County CorkCommodity L/S Strategy
County CorkRLA I Program
Davis CommoditiesAgricultural Program
Demeter Capital ManagementLivestock & Grain Trading Program
Ditsch TradingAgricultural Trading Program
Evergreen Commodity AdvisorsDiscretionary Energy Strategy
First Quadrant LPCommodities Long/Short
Four Seasons CommoditiesHawkeye Spread Program
Gamma QBreckhurst Commodity 2x
Gresham Investment ManagementGreshamQuant Acar
GZC Investment Management AGGZC Strategic Commodities Fund
HPX FinancialOld School Program
Husk CapitalLong Biased Commodities
J E MoodyCommodity Relative Value
J E MoodyCommodity Relative Value 3X
J8 Capital ManagementJ8 Commodity Term Structure Arbitrage Strategy
Jaguar InvestmentsAegir Capital Strategy
Katonah EveLong-Short Commodity Program – Accelerated
Katonah EveSpread Trading Program Limited
Kopis Capital ManagementCommodity Long Short
M&R CapitalLivestock Trading Program
Martin Fund ManagementMartin Options Program
Mercantile Analytics and TradingGlobal Diversified Commodity
Millburn Ridegfield CorporationCommodity Program
Molinero Capital ManagementCommo+
NickJen Capital Management & ConsultantsNatural Resource Discretionary Program – NDR1
Northern Capital PartnersSpread Program
Northern Trace CapitalNorthern Trace Strategy
NuWave Investment ManagementCommodity Directional Portfolio
NuWave Investment ManagementCommodity Value Portfolio
NWOneNWOne Diversified Strategy
Oceanic Investment Management LimitedOceanic Systematic Program
Opus FuturesAdvanced Ag Trading Program
Pan Capital Management LPEnergy Fund
PIMCOCommodity Alpha Fund
Polar Star ManagementPolar Star Fund
Polar Star ManagementPolar Star Quantitative Commodity Fund
Polar Star ManagementPolar Star Spectrum Fund Limited
Princeton Investments and TechnologiesCommodity Arbitrage Plus Program
Quantix Commodities LPQuantix Commodity Alpha
Ramsey Quantitative SystemsCommodity Prime Alpha
RCMA CapitalMerchant Commodity Fund
Red Rock CapitalCommodity Long-Short
Rosetta AnalyticsRL Carbon
Rosetta Capital ManagementRosetta Macro Program
Rosetta Capital ManagementRosetta Trading Program
Salus Alpha CapitalCommodity Arbitrage (CAX)
Schindler Capital ManagementDairy Advantage Program
Schindler Capital ManagementInstitutional Dairy Advantage
Sector Arc AdvisorsGlobal Lean Hog Ag
Sigma Advanced Capital ManagementCarbon Neutral Alpha Program
Sigma Advanced Capital ManagementGlobal Advanced Futures and Spread
Six Alpha Capital AdvisorsBarnyard Program
SMN Investment ServicesStructural Alpha Trend
SpreadEdge CapitalAgriculture Seasonal Spreads
SpreadEdge CapitalDiversified Seasonal Spread
SpreadEdge CapitalEnergy Seasonal Spread
SpreadEdge CapitalInter-Commodity Spread Program
Spring Valley Asset ManagementCommodity Advantage Portfolio
Statar CapitalNatural Gas Strategy
Tactical Investment Management CorpInstitutional Commodity
The Great O’NeillGreat O’Neill
TresidesTotal Return Commodities
Typhon Capital ManagementLeonidas Energy Strategy
Typhon Capital ManagementPlutus Grain Strategy
Typhon Capital ManagementZephyrus Livestock
Wharton Capital ManagementAgricultural Futures
Alternative Capital AdvisorsStrategic Ag Program
Amapa Capital AdvisorsAmapa Investment Program
AquantumACS Energies
AquantumCommodity Spread
Arctic Blue CapitalInuvik Strategy
Arion Investment ManagementArion Copper Arbitrage
Auspice Capital AdvisorsShort Term (AST)
Blue Bar Futures Trading ManagementPrime Ag Program
Blue Bar Futures Trading ManagementU.S. Commodity Diversified
Bocken TradingDiscretionary Trading Program
Brent Trading PtyCommodity Seasonal Spread
Brisslen Capital ManagementBrisslen Energy Strategy
ButtonwoodEnergy Diversified
Caerus GroupOil Futures Trading Program
Cayler CapitalSystematic Energy Diversified
Cazadores InvestmentsCazadores Commodity Alpha
Contrarian InvestorsManaged Futures Program (P)
CoreCommodity ManagementDiversified Portable Alpha
CoreCommodity ManagementFounders Absolute Return (FAR)
County CorkRLA I Program
Davis CommoditiesAgricultural Program
Demeter Capital ManagementLivestock & Grain Trading Program
Ditsch TradingAgricultural Trading Program
Dynamica Global InvestmentsDynamica Energy Trading
e360 Powere360 Power Strategy
Emil Van EssenLong-Short Commodity Program – Accelerated
Emil Van EssenSpread Trading Program Limited
Evergreen Commodity AdvisorsDiscretionary Energy Strategy
First Quadrant LPCommodities Long/Short
Four Seasons CommoditiesHawkeye Spread Program
Gamma QBreckhurst Commodity 2x
Geosol CapitalOnshore I
Gresham Investment ManagementGreshamQuant Acar
GZC Investment Management AGGZC Strategic Commodities Fund
Henrik HallenborgHeavy Metal
HPX FinancialOld School Program
J E MoodyCommodity Relative Value
J E MoodyCommodity Relative Value 3X
Jaguar InvestmentsAegir Capital Strategy
M&R CapitalLivestock Trading Program
Martin Fund ManagementMartin Options Program
Martin Fund ManagementRelative Value Agriculture Options
Mercantile Analytics and TradingGlobal Diversified Commodity
Millburn Ridegfield CorporationCommodity Program
Mobius Asset MgtCeed Trading Program
Mobius Asset MgtMCR Trading Program
NickJen Capital Management & ConsultantsNatural Resource Discretionary Program – NDR1
Northern Capital PartnersSpread Program
Northern Trace CapitalNorthern Trace Strategy
NuWave Investment ManagementCommodity Value Portfolio
NWOneNWOne Diversified Strategy
Opus FuturesAdvanced Ag Trading Program
Orgone Commodity ManagementOrgone AG 1
PackCreek CapitalComposite
Pan Capital Management LPEnergy Fund
Princeton Investments and TechnologiesCommodity Arbitrage Plus Program
Quantix Commodities LPQuantix Commodity Alpha
RCMA CapitalMerchant Commodity Fund
Red Rock CapitalCommodity Long-Short
Rosetta Capital ManagementRosetta Macro Program
Rosetta Capital ManagementRosetta Trading Program
Salus Alpha CapitalCommodity Arbitrage (CAX)
Schindler Capital ManagementDairy Advantage Program
Schindler Capital ManagementInstitutional Dairy Advantage
Sector Arc AdvisorsGlobal Lean Hog Ag
Shepherd EnergyShepherd Energy Portfolio
Sigma Advanced Capital ManagementGlobal Advanced Futures and Spread
SMN Investment ServicesStructural Alpha Trend
SpreadEdge CapitalAgriculture Seasonal Spreads
SpreadEdge CapitalDiversified Seasonal Spread
SpreadEdge CapitalEnergy Seasonal Spread
SpreadEdge CapitalInter-Commodity Spread Program
Statar CapitalNatural Gas Strategy
Tactical Investment Management CorpInstitutional Commodity
The Great O’NeillGreat O’Neill
Third Street Ag InvestmentsFundamental Discretionary Ag Program
TresidesTotal Return Commodities
Typhon Capital ManagementLeonidas Energy Strategy
Typhon Capital ManagementPlutus Grain Strategy
Typhon Capital ManagementVulcan Metals Strategy
Typhon Capital ManagementZephyrus Livestock
Wharton Capital ManagementAgricultural Futures
World Cup AdvisorLarry Williams China Gold
Alternative Capital AdvisorsStrategic Ag Program
Amapa Capital AdvisorsAmapa Investment Program
AquantumACS Energies
AquantumCommodity Spread
Arctic Blue CapitalInuvik Strategy
Ardmore Systems TradingTrading Program
Arion Investment ManagementArion Copper Arbitrage
Aventis Asset ManagementDiversified Commodity Strategy
BlackBird Asset ManagementBlackBird Alpha Spread 2.5X
BlackBird Asset ManagementCommodity Spread
Blue Bar Futures Trading ManagementPrime Ag Program
Blue Bar Futures Trading ManagementU.S. Commodity Diversified
Bocken TradingDiscretionary Trading Program
Brisslen Capital ManagementBrisslen Energy Strategy
ButtonwoodEnergy Diversified
Caerus GroupOil Futures Trading Program
Cayler CapitalSystematic Energy Diversified
Commodity Asset ManagementFutures Only
CoreCommodity ManagementDiversified Portable Alpha
CoreCommodity ManagementFounders Absolute Return (FAR)
County CorkRLA I Program
Crow TradingCrow Trading Inc.
Crow TradingNon QEP
Davis CommoditiesAgricultural Program
Demeter Capital ManagementLivestock & Grain Trading Program
Ditsch TradingAgricultural Trading Program
Dynamica Global InvestmentsDynamica Energy Trading
e360 Powere360 Power Strategy
Emil Van EssenLong-Short Commodity Program
Emil van EssenLong-Short Commodity Program – Accelerated
Emil Van EssenMulti-Strategy Program
Emil van EssenSpread Trading Program
Emil Van EssenSpread Trading Program Limited
Evergreen Commodity AdvisorsDiscretionary Energy Strategy
First Quadrant LPCommodities Long/Short
Geosol CapitalOnshore I
Gregory P Asset ManagementSeasonal Spread & Option Strategy
Gresham Investment ManagementGreshamQuant Acar
HPX FinancialOld School Program
J E MoodyCommodity Relative Value
J E MoodyCommodity Relative Value 3X
Jaguar InvestmentsAegir Capital Strategy
Kronos ManagementEMMA Program
M&R CapitalLivestock Trading Program
Martin Fund ManagementMartin Fund
Meliora CapitalCommodity Absolute Return 1X
Meliora CapitalCommodity Absolute Return 3x
Mercantile Analytics and TradingGlobal Diversified Commodity
Millburn Ridegfield CorporationCommodity Program
Mobius Asset MgtCeed Trading Program
Mobius Asset MgtMCR Trading Program
NickJen Capital Management & ConsultantsNatural Resource Discretionary Program – NDR1
Northern Capital PartnersSpread Program
Northern Star PartnersNorthern Star MG Relative Value
NuWave Investment ManagementCommodity Value Portfolio
Opus FuturesAdvanced Ag Trading Program
Pan Capital Management LPEnergy Fund
Polar Star ManagementPolar Star Quantitative Commodity Fund
Polar Star ManagementPolar Star Spectrum Fund Limited
Quantix Commodities LPQuantix Commodity Alpha
RCMA CapitalMerchant Commodity Fund
Red Oak Commodity AdvisorsFundamental Trading Program
Red Rock CapitalCommodity Long-Short
Rosetta Capital ManagementRosetta Macro Program
Rosetta Capital ManagementRosetta Trading Program
Salus Alpha CapitalCommodity Arbitrage (CAX)
Schindler Capital ManagementDairy Advantage Program
Schindler Capital ManagementInstitutional Dairy Advantage
Sector Arc AdvisorsGlobal Lean Hog Ag
Shepherd EnergyShepherd Energy Portfolio
Sigma Advanced Capital ManagementGlobal Advanced Futures and Spread
SpreadEdge CapitalAgriculture Seasonal Spreads
SpreadEdge CapitalDiversified Seasonal Spread
Statar CapitalNatural Gas Strategy
Tactical Investment Management CorpInstitutional Commodity
The Great O’NeillGreat O’Neill
Third Street Ag InvestmentsFundamental Discretionary Ag Program
THOR AnalyticsTHOR Metals Fund I
Tlaloc CapitalGrains Program
Volkert Investment ManagementVolkert Investment Management Inc.
Wharton Capital ManagementAgricultural Futures
White Indian Trading CompanyAlternative Hedge Energy
White Indian Trading CompanyAlternative Hedge Energy (Proprietary)
World Cup AdvisorLarry Williams China Gold
AC Investment MgmtAGR Master
Advanced Arbitrage ConceptsNominal Performance Account Two
AlphaGen Capital LimitedLong Short Agriculture Fund
Alternative Capital AdvisorsStrategic Ag Program
Amapa Capital AdvisorsAmapa Investment Program
Andurand Capital ManagementCommodities
AquantumACS Energies
AquantumCommodity Spread
Arctic Blue Capital2x Program
Arctic Blue CapitalInuvik Strategy
Aventis Asset ManagementDiversified Commodity Strategy
Bighorn Capital PartnersDenali Program
Blue Bar Futures Trading ManagementPrime Ag Program
Blue Bar Futures Trading ManagementU.S. Commodity Diversified
Bluenose Capital ManagementBNC CL Program
Bocken TradingDiscretionary Trading Program
Brent Trading PtyCommodity Seasonal Spread
Brisslen Capital ManagementBrisslen Energy Strategy
ButtonwoodEnergy Diversified
Caerus GroupOil Futures Trading Program
Catalyst Capital AdvisorsHedged Commodity Strategy
Cogent Energy Investment ManagementCommodity Strategy
Commodity Asset ManagementFutures Only
County CorkAg Long/Short Program
County CorkCommodity Long/Short Program
County CorkMetals and Energy Long/Short Program
County CorkRLA I Program
Crow TradingCrow Trading Inc.
Crow TradingNon QEP
Davis CommoditiesAgricultural Program
Demeter Capital ManagementLivestock & Grain Trading Program
Ditsch TradingAgricultural Trading Program
Dynamica Global InvestmentsDynamica Energy Trading
e360 Powere360 Power Strategy
Emil van EssenLong-Short Commodity Program
Emil Van EssenLong-Short Commodity Program – Accelerated
Emil Van EssenMulti-Strategy Program
Emil Van EssenSpread Trading Program
Emil Van EssenSpread Trading Program Limited
Emil Van EssenSystematic Commodity Opportunities
Enduring InvestmentsEnduring Commodity Alpha Fund LP
Evergreen Commodity AdvisorsDiscretionary Energy Strategy
First Quadrant LPCommodities Long/Short
Gamma QBreckhurst Commodity
Gamma QBreckhurst Commodity 2x
Geosol CapitalOnshore I
Geosol CapitalSMA
Gregory P Asset ManagementSeasonal Spread & Option Strategy
Gresham Investment ManagementGreshamQuant Acar
GZC Investment Management AGGZC Strategic Commodities Fund
HB Capital ManagementDiversified Program
Hehmeyer Capital ManagementChelsea Creek
Hehmeyer Capital ManagementHOGO
HPX FinancialOld School Program
Ilgenwald TradingIlgenwald Trading Program
J E MoodyCommodity Relative Value
J E MoodyCommodity Relative Value 3X
Jaguar InvestmentsAegir Capital Strategy
Jaguar InvestmentsUltro Capital Strategy
Jaguar InvestmentsVario Strategy
Kopis Capital ManagementCommodity Long Short
Kronos ManagementEMMA Program
M&R CapitalLivestock Trading Program
Mercantile Analytics and TradingGlobal Diversified Commodity
Millburn Ridegfield CorporationCommodity Program
Mobius Asset MgtMCR Trading Program
MoongateMG Commodity IC SICAV
NickJen Capital Management & ConsultantsNatural Resource Discretionary Program – NDR1
NuWave Investment ManagementCommodity Value Portfolio
Opus FuturesAdvanced Ag Trading Program
Orgone Commodity ManagementOrgone Commodity Management
Pan Capital Management LPEnergy Fund
PIMCOCommodity Alpha Fund
Polar Star ManagementPolar Star Fund
Polar Star Management SEZCPolar Star Spectrum Fund Limited
Premium Capital Advisors AGPrecious Metals Only
RCMA CapitalMerchant Commodity Fund
RCube Asset ManagementCommodity Spread
Red Oak Commodity AdvisorsFundamental Trading Program
Red Rock CapitalCommodity Long-Short
Robot FuturesCLIMALOGIX
Rosetta Capital ManagementRosetta Macro Program
Rosetta Capital ManagementRosetta Trading Program
RVI Partners LPRVI Partners LP
Salus Alpha CapitalCommodity Arbitrage (CAX)
Schindler Capital ManagementDairy Advantage Program
Schindler Capital ManagementInstitutional Dairy Advantage
Sector Arc AdvisorsGlobal Lean Hog Ag
Shepherd EnergyShepherd Energy Portfolio
Sidewinder Investment AGSidewinder Energy Fund Ltd
Sigma Advanced Capital ManagementGlobal Advanced Futures and Spread
Smith Futures ManagementLiberty Program
Splendor Capital ManagementCredence Global
SpreadEdge CapitalAgriculture Seasonal Spreads
SpreadEdge CapitalDiversified Seasonal Spread
Tactical Investment Management CorpInstitutional Commodity
Tactical Investment Management CorpTactical Multistrategy Commodity Fund LP
The Great O’NeillGreat O’Neill
Third Street Ag InvestmentsFundamental Discretionary Ag Program
Tlaloc CapitalGrains Program
Tyche Capital AdvisorsTCA Institutional Spreads
Typhon Capital ManagementLeonidas Energy Strategy
Typhon Capital ManagementPlutus Grain Strategy
Typhon Capital ManagementVulcan Metals Fund
Typhon Capital ManagementVulcan Metals Strategy
Typhon Capital ManagementZephyrus Livestock
Wharton Capital ManagementAgricultural Futures
White Indian Trading CompanyAlternative Hedge Energy