Skip to content

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.

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

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

AcadianCommodities Absolute Return
Algo CapitalEnergy
AquantumACS Energies
AquantumCommodity Spread
Auspice Capital AdvisorsShort Term (AST)
Calculo CapitalCalculo Evolution Fund
Cayler CapitalSystematic Energy Diversified
County CorkCommodity L/S Strategy
EMC Capital AdvisorsTactical Commodity
First PrivateSystematic Commodity
GAIA Capital ManagementGAIA Gold
Gresham Investment ManagementGreshamQuant Acar
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
Millburn Ridgefield CorporationCommodity Program
Millburn Ridgefield CorporationResource Opportunities
Molinero Capital ManagementCommo+2.5x
Northern Capital PartnersSpread Program
NuWave Investment ManagementCommodity Directional Portfolio
NuWave Investment ManagementCommodity Value Portfolio
NWOneNWOne Diversified Strategy
Oceanic Investment Management LimitedOceanic Systematic Program
Polar Star ManagementPolar Star Quantitative Commodity Fund
QDRA PtyCommodity Strategy
Ramsey Quantitative SystemsCommodity Prime Alpha
Red Rock CapitalCommodity Long-Short
Rosetta AnalyticsRL Carbon
Rotella Capital ManagementQDeck Micro Commodity
Rotella Capital ManagementQDeck ML Commodity
Rotella Capital ManagementQDeck Tactical Commodity
Salus Alpha CapitalCommodity Arbitrage (CAX)
SMN Investment ServicesStructural Alpha Trend
SpreadEdge CapitalAgriculture Seasonal Spreads
SpreadEdge CapitalDiversified Seasonal Spread
SpreadEdge CapitalEnergy Seasonal Spread
SpreadEdge CapitalInter-Commodity Spread Program
Tactical Investment Management CorpInstitutional Commodity
Algo CapitalEnergy
AquantumACS Energies
AquantumCommodity Spread
Auspice Capital AdvisorsShort Term (AST)
Calculo CapitalCalculo Evolution Fund
Cayler CapitalSystematic Energy Diversified
Cazadores InvestmentsCazadores Commodity Alpha
Contrarian InvestorsContrarian Commodities
County CorkCommodity L/S Strategy
First Quadrant LPCommodities Long/Short
Gresham Investment ManagementGreshamQuant Acar
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
Molinero Capital ManagementCommo+
Northern Capital PartnersSpread Program
NuWave Investment ManagementCommodity Directional Portfolio
NuWave Investment ManagementCommodity Value Portfolio
NWOneNWOne Diversified Strategy
Oceanic Investment Management LimitedOceanic Systematic Program
Polar Star ManagementPolar Star Quantitative Commodity Fund
Princeton Investments and TechnologiesCommodity Arbitrage Plus Program
Ramsey Quantitative SystemsCommodity Prime Alpha
Red Rock CapitalCommodity Long-Short
Rosetta AnalyticsRL Carbon
Salus Alpha CapitalCommodity Arbitrage (CAX)
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
Tactical Investment Management CorpInstitutional Commodity
AquantumACS Energies
AquantumCommodity Spread
Arctic Blue CapitalInuvik Strategy
Auspice Capital AdvisorsShort Term (AST)
Brent Trading PtyCommodity Seasonal Spread
Caerus GroupOil Futures Trading Program
Calculo CapitalCalculo Evolution Fund
Cayler CapitalSystematic Energy Diversified
Cazadores InvestmentsCazadores Commodity Alpha
Contrarian InvestorsManaged Futures Program (P)
First Quadrant LPCommodities Long/Short
Gresham Investment ManagementGreshamQuant Acar
Henrik HallenborgHeavy Metal
J E MoodyCommodity Relative Value
J E MoodyCommodity Relative Value 3X
Jaguar InvestmentsAegir Capital Strategy
Mobius Asset MgtCeed Trading Program
Northern Capital PartnersSpread Program
NuWave Investment ManagementCommodity Value Portfolio
NWOneNWOne Diversified Strategy
Princeton Investments and TechnologiesCommodity Arbitrage Plus Program
Red Rock CapitalCommodity Long-Short
Salus Alpha CapitalCommodity Arbitrage (CAX)
SMN Investment ServicesStructural Alpha Trend
SpreadEdge CapitalAgriculture Seasonal Spreads
SpreadEdge CapitalDiversified Seasonal Spread
SpreadEdge CapitalEnergy Seasonal Spread
SpreadEdge CapitalInter-Commodity Spread Program
Tactical Investment Management CorpInstitutional Commodity
AquantumACS Energies
AquantumCommodity Spread
Arctic Blue CapitalInuvik Strategy
Caerus GroupOil Futures Trading Program
Calculo CapitalCalculo Evolution Fund
Cayler CapitalSystematic Energy Diversified
First Quadrant LPCommodities Long/Short
Gresham Investment ManagementGreshamQuant Acar
J E MoodyCommodity Relative Value
J E MoodyCommodity Relative Value 3X
Jaguar InvestmentsAegir Capital Strategy
Meliora CapitalCommodity Absolute Return 1X
Meliora CapitalCommodity Absolute Return 3x
Mobius Asset MgtCeed Trading Program
Northern Capital PartnersSpread Program
Northern Star PartnersNorthern Star MG Relative Value
NuWave Investment ManagementCommodity Value Portfolio
NWOneNWOne Diversified Strategy
Polar Star ManagementPolar Star Quantitative Commodity Fund
Red Rock CapitalCommodity Long-Short
Salus Alpha CapitalCommodity Arbitrage (CAX)
SpreadEdge CapitalAgriculture Seasonal Spreads
SpreadEdge CapitalDiversified Seasonal Spread
Tactical Investment Management CorpInstitutional Commodity
THOR AnalyticsTHOR Metals Fund I
Volkert Investment ManagementVolkert Investment Management Inc.
White Indian Trading CompanyAlternative Hedge Energy
White Indian Trading CompanyAlternative Hedge Energy (Proprietary)
Advanced Arbitrage ConceptsNominal Performance Account Two
AquantumACS Energies
AquantumCommodity Spread
Arctic Blue Capital2x Program
Arctic Blue CapitalInuvik Strategy
Brent Trading PtyCommodity Seasonal Spread
Caerus GroupOil Futures Trading Program
Calculo CapitalCalculo Evolution Fund
County CorkAg Long/Short Program
County CorkCommodity Long/Short Program
County CorkMetals and Energy Long/Short Program
First Quadrant LPCommodities Long/Short
Gresham Investment ManagementGreshamQuant Acar
J E MoodyCommodity Relative Value
J E MoodyCommodity Relative Value 3X
Jaguar InvestmentsAegir Capital Strategy
NuWave Investment ManagementCommodity Value Portfolio
Polar Star Management SEZCPolar Star Spectrum Fund Limited
Premium Capital Advisors AGPrecious Metals Only
Red Rock CapitalCommodity Long-Short
Salus Alpha CapitalCommodity Arbitrage (CAX)
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
White Indian Trading CompanyAlternative Hedge Energy