Discretionary Macro CTA Index

As a subset of the NilssonHedge Discretionary CTA/Global Macro index, we have isolated the managers that are discretionarily trading markets from a global perspective.

As usual, our methodology is 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 of the prior year. The managers included in the index are based on strategies that we have identified as (mostly) Discretionary strategies and trading across all sectors (Commodities, Currencies, Fixed Income, Equities, Cryptos, etc). Index launched Jan 2023.

Discretionary managers are archetypical traders, using their judgment to implement positions and take risks in the markets. However, a lot of discretionary managers also use systems to get a view of positioning and drivers of markets.

Some discretionary managers may also allocate 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.

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

The Discretionary CTA Index starts in 2019, as a subset of the main CTA index. Below are the individual managers in the index for each year.