Systematic Commodities CTA Index

As a subset of our diversified Commodity CTA/Managed Futures index, we have carved out the Systematic 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. In essence, this splits the commodity universe in unequal halves, as we are classifying strategies into either Discretionary or Systematic.

The managers included in the index are based on strategies that we have identified as mainly focused on commodity trading from a quantitative 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 that overwhelmingly are trading in actual commodity markets, rather than diversified managers that trade mostly in financial markets. Managers in this category tend to run specialized strategies in for instance grains or metals.

These managers deploy systematic strategies which may include trend, carry, cross-curve strategies, and sentiment strategies. These managers may occasionally overlap with Risk Premia or CTA managers.

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