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Fund of Funds CTA Index

NilssonHedge provides a Fund of Funds CTA/Managed Futures 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 of the prior year. The managers included in the index are based on strategies that we have identified as consisting of fund-of-funds. That is portfolios that are delegating risk to external Managed Futures or CTA managers. Most of the managers are diversified across style and sector while others are focused on a particular sector. Some of them deploy leverage, to offset the risk reduction that a multiple return source allocation typically implies.

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

Abbey CapitalAbbey Alternative Fund
Abbey CapitalAbbey Capital Futures Strategy
Altegris AdvisorsEvolution
Capricorn Currency ManagementFX Multi Strategy (Diverse)
Capricorn Currency ManagementFX Multi Strategy (Select)
Capricorn Currency ManagementFX Multi Strategy (Vol 25)
Dunn Capital ManagementD’Best Futures Fund L.P.
Efficient Capital ManagementDiversified Fund LV
Equinox Fund ManagementEquinox Ampersand Strategy Fund
Equinox Fund ManagementMutualHedge Futures Strategy
James AlphaMacro
LoCorr Fund ManagementLoCorr Macro Strategies
LoCorr Fund ManagementLong/Short Commodity Strats
RPM Risk & Portfolio ManagementRPM Evolving
Abbey CapitalAbbey Alternative Fund
Abbey CapitalAbbey Capital Futures Strategy
Altegris AdvisorsEvolution
Atkins and AssociatesGlobal Currency Reserve LP
Dunn Capital ManagementD’Best Futures Fund L.P.
Equinox Fund ManagementEquinox Ampersand Strategy Fund
Equinox Fund ManagementMutualHedge Futures Strategy
James AlphaMacro
LoCorr Fund ManagementLoCorr Macro Strategies
LoCorr Fund ManagementLong/Short Commodity Strats
RPM Risk & Portfolio ManagementRPM Evolving
RPM Risk & Portfolio ManagementRPM Galaxy
Abbey CapitalAbbey Alternative Fund
Abbey CapitalAbbey Capital Futures Strategy
Altegris AdvisorsEvolution
Altegris AdvisorsManaged Futures
Dunn Capital ManagementD’Best Futures Fund L.P.
Equinox Fund ManagementEquinox Ampersand Strategy Fund
Equinox Fund ManagementMutualHedge Futures Strategy
James AlphaMacro
LoCorr Fund ManagementLoCorr Macro Strategies
LoCorr Fund ManagementLong/Short Commodity Strats
Optimized Portfolio Management StockholmCARNEO Systematic Alpha
RPM Risk & Portfolio ManagementRPM Evolving
RPM Risk & Portfolio ManagementRPM Galaxy
StebenManaged Futures Strategy
Abbey CapitalAbbey Alternative Fund
Abbey CapitalAbbey Capital Futures Strategy
AC Investment MgmtAGR Master
AlfakraftAlfa Quant
Atkins and AssociatesGlobal Currency Reserve LP
Dunn Capital ManagementD’Best Futures Fund L.P.
Efficient Capital ManagementDiversified Fund
Efficient Capital ManagementDiversified Fund LV
Equinox Fund ManagementEquinox Ampersand Strategy Fund
Equinox Fund ManagementMutualHedge Futures Strategy
Hehmeyer Capital ManagementMulti-Strategy Managed Futures
HSBC Republic ManagementHSBC Trading AdvantEdge
Optimized Portfolio Management StockholmCARNEO Systematic Alpha A
Progressive Capital PartnersCherry Blossom Trend Enhanced Fund (1512 St Gallen / SysCat)
RPM Risk & Portfolio ManagementRPM Evolving
RPM Risk & Portfolio ManagementRPM Galaxy
UOB-SM Asset Management PteOriental Fund