Discretionary Commodities CTA Index

As a subset of our diversified Commodity CTA/Managed Futures index, we have carved out the Discretionary Commodity managers. The index, is as usual, based on the average returns of the underlying managers. We do not provide backtracked returns nor 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 mainly focused on commodity trading from a Discretionary or Judgmental point of view. This is using our internal classification, so managers may have a divergent opinion if they belong in the index or not. The index was launched in January 2013 according to our standardized methodology.

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

These managers deploy discretionary strategies. Commodity managers typically originate from the physical side of the business and try to extract a risk premium from commercial hedgers.

The index is based on managers who 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 publicly and may thus exclude certain managers who have chosen not to do so.

Index Constituents