NilssonHedge provides a Discretionary CTA/Global Macro 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 (mostly) Discretionary strategies. That is, strategies that are using human input and judgement as the primary drivers of returns.
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.
Discretionary managers are the archetypical trader, using his mental judgement to implement positions and to take risk in the markets. However, a lot of discretionary manager also use systems to get a view on positioning and drivers of markets. Some discretionary manager may also allocate to systematic strategies as a sub-allocation within their portfolios.
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 index constituents 2019 click here.
For a list of the index constituents 2020 click here.