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
Acadian | Commodities Absolute Return |
Algo Capital | Energy |
Aquantum | ACS Energies |
Aquantum | Commodity Spread |
Auspice Capital Advisors | Short Term (AST) |
Calculo Capital | Calculo Evolution Fund |
Cayler Capital | Systematic Energy Diversified |
County Cork | Commodity L/S Strategy |
EMC Capital Advisors | Tactical Commodity |
First Private | Systematic Commodity |
GAIA Capital Management | GAIA Gold |
Gresham Investment Management | GreshamQuant Acar |
J E Moody | Commodity Relative Value |
J E Moody | Commodity Relative Value 3X |
J8 Capital Management | J8 Commodity Term Structure Arbitrage Strategy |
Jaguar Investments | Aegir Capital Strategy |
Katonah Eve | Long-Short Commodity Program – Accelerated |
Millburn Ridgefield Corporation | Commodity Program |
Millburn Ridgefield Corporation | Resource Opportunities |
Molinero Capital Management | Commo+2.5x |
Northern Capital Partners | Spread Program |
NuWave Investment Management | Commodity Directional Portfolio |
NuWave Investment Management | Commodity Value Portfolio |
NWOne | NWOne Diversified Strategy |
Oceanic Investment Management Limited | Oceanic Systematic Program |
Polar Star Management | Polar Star Quantitative Commodity Fund |
QDRA Pty | Commodity Strategy |
Ramsey Quantitative Systems | Commodity Prime Alpha |
Red Rock Capital | Commodity Long-Short |
Rosetta Analytics | RL Carbon |
Rotella Capital Management | QDeck Micro Commodity |
Rotella Capital Management | QDeck ML Commodity |
Rotella Capital Management | QDeck Tactical Commodity |
Salus Alpha Capital | Commodity Arbitrage (CAX) |
SMN Investment Services | Structural Alpha Trend |
SpreadEdge Capital | Agriculture Seasonal Spreads |
SpreadEdge Capital | Diversified Seasonal Spread |
SpreadEdge Capital | Energy Seasonal Spread |
SpreadEdge Capital | Inter-Commodity Spread Program |
Tactical Investment Management Corp | Institutional Commodity |
Algo Capital | Energy |
Aquantum | ACS Energies |
Aquantum | Commodity Spread |
Auspice Capital Advisors | Short Term (AST) |
Calculo Capital | Calculo Evolution Fund |
Cayler Capital | Systematic Energy Diversified |
Cazadores Investments | Cazadores Commodity Alpha |
Contrarian Investors | Contrarian Commodities |
County Cork | Commodity L/S Strategy |
First Quadrant LP | Commodities Long/Short |
Gresham Investment Management | GreshamQuant Acar |
J E Moody | Commodity Relative Value |
J E Moody | Commodity Relative Value 3X |
J8 Capital Management | J8 Commodity Term Structure Arbitrage Strategy |
Jaguar Investments | Aegir Capital Strategy |
Katonah Eve | Long-Short Commodity Program – Accelerated |
Katonah Eve | Spread Trading Program Limited |
Molinero Capital Management | Commo+ |
Northern Capital Partners | Spread Program |
NuWave Investment Management | Commodity Directional Portfolio |
NuWave Investment Management | Commodity Value Portfolio |
NWOne | NWOne Diversified Strategy |
Oceanic Investment Management Limited | Oceanic Systematic Program |
Polar Star Management | Polar Star Quantitative Commodity Fund |
Princeton Investments and Technologies | Commodity Arbitrage Plus Program |
Ramsey Quantitative Systems | Commodity Prime Alpha |
Red Rock Capital | Commodity Long-Short |
Rosetta Analytics | RL Carbon |
Salus Alpha Capital | Commodity Arbitrage (CAX) |
Six Alpha Capital Advisors | Barnyard Program |
SMN Investment Services | Structural Alpha Trend |
SpreadEdge Capital | Agriculture Seasonal Spreads |
SpreadEdge Capital | Diversified Seasonal Spread |
SpreadEdge Capital | Energy Seasonal Spread |
SpreadEdge Capital | Inter-Commodity Spread Program |
Spring Valley Asset Management | Commodity Advantage Portfolio |
Tactical Investment Management Corp | Institutional Commodity |
Aquantum | ACS Energies |
Aquantum | Commodity Spread |
Arctic Blue Capital | Inuvik Strategy |
Auspice Capital Advisors | Short Term (AST) |
Brent Trading Pty | Commodity Seasonal Spread |
Caerus Group | Oil Futures Trading Program |
Calculo Capital | Calculo Evolution Fund |
Cayler Capital | Systematic Energy Diversified |
Cazadores Investments | Cazadores Commodity Alpha |
Contrarian Investors | Managed Futures Program (P) |
First Quadrant LP | Commodities Long/Short |
Gresham Investment Management | GreshamQuant Acar |
Henrik Hallenborg | Heavy Metal |
J E Moody | Commodity Relative Value |
J E Moody | Commodity Relative Value 3X |
Jaguar Investments | Aegir Capital Strategy |
Mobius Asset Mgt | Ceed Trading Program |
Northern Capital Partners | Spread Program |
NuWave Investment Management | Commodity Value Portfolio |
NWOne | NWOne Diversified Strategy |
Princeton Investments and Technologies | Commodity Arbitrage Plus Program |
Red Rock Capital | Commodity Long-Short |
Salus Alpha Capital | Commodity Arbitrage (CAX) |
SMN Investment Services | Structural Alpha Trend |
SpreadEdge Capital | Agriculture Seasonal Spreads |
SpreadEdge Capital | Diversified Seasonal Spread |
SpreadEdge Capital | Energy Seasonal Spread |
SpreadEdge Capital | Inter-Commodity Spread Program |
Tactical Investment Management Corp | Institutional Commodity |
Aquantum | ACS Energies |
Aquantum | Commodity Spread |
Arctic Blue Capital | Inuvik Strategy |
Caerus Group | Oil Futures Trading Program |
Calculo Capital | Calculo Evolution Fund |
Cayler Capital | Systematic Energy Diversified |
First Quadrant LP | Commodities Long/Short |
Gresham Investment Management | GreshamQuant Acar |
J E Moody | Commodity Relative Value |
J E Moody | Commodity Relative Value 3X |
Jaguar Investments | Aegir Capital Strategy |
Meliora Capital | Commodity Absolute Return 1X |
Meliora Capital | Commodity Absolute Return 3x |
Mobius Asset Mgt | Ceed Trading Program |
Northern Capital Partners | Spread Program |
Northern Star Partners | Northern Star MG Relative Value |
NuWave Investment Management | Commodity Value Portfolio |
NWOne | NWOne Diversified Strategy |
Polar Star Management | Polar Star Quantitative Commodity Fund |
Red Rock Capital | Commodity Long-Short |
Salus Alpha Capital | Commodity Arbitrage (CAX) |
SpreadEdge Capital | Agriculture Seasonal Spreads |
SpreadEdge Capital | Diversified Seasonal Spread |
Tactical Investment Management Corp | Institutional Commodity |
THOR Analytics | THOR Metals Fund I |
Volkert Investment Management | Volkert Investment Management Inc. |
White Indian Trading Company | Alternative Hedge Energy |
White Indian Trading Company | Alternative Hedge Energy (Proprietary) |
Advanced Arbitrage Concepts | Nominal Performance Account Two |
Aquantum | ACS Energies |
Aquantum | Commodity Spread |
Arctic Blue Capital | 2x Program |
Arctic Blue Capital | Inuvik Strategy |
Brent Trading Pty | Commodity Seasonal Spread |
Caerus Group | Oil Futures Trading Program |
Calculo Capital | Calculo Evolution Fund |
County Cork | Ag Long/Short Program |
County Cork | Commodity Long/Short Program |
County Cork | Metals and Energy Long/Short Program |
First Quadrant LP | Commodities Long/Short |
Gresham Investment Management | GreshamQuant Acar |
J E Moody | Commodity Relative Value |
J E Moody | Commodity Relative Value 3X |
Jaguar Investments | Aegir Capital Strategy |
NuWave Investment Management | Commodity Value Portfolio |
Polar Star Management SEZC | Polar Star Spectrum Fund Limited |
Premium Capital Advisors AG | Precious Metals Only |
Red Rock Capital | Commodity Long-Short |
Salus Alpha Capital | Commodity Arbitrage (CAX) |
Smith Futures Management | Liberty Program |
Splendor Capital Management | Credence Global |
SpreadEdge Capital | Agriculture Seasonal Spreads |
SpreadEdge Capital | Diversified Seasonal Spread |
Tactical Investment Management Corp | Institutional Commodity |
Tactical Investment Management Corp | Tactical Multistrategy Commodity Fund LP |
White Indian Trading Company | Alternative Hedge Energy |