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 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 own internal classification, so managers may have a divergent opinion if they belong in the index or not.
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.
These managers generally deploy discretionary strategies, but there is a healthy selection of systematic managers in the list. Commodity managers typically originate from the physical side of the business and try to extract a risk premia 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.
For a list of the 2019 index constituents click here.
For a list of the 2020 index constituents click here.