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”.
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
2023
2022
2021
2020
2019
Abbey Capital
Abbey Alternative Fund
Abbey Capital
Abbey Capital Futures Strategy
Altegris Advisors
Evolution
Atkins and Associates
Global Currency Reserve LP
Capricorn Currency Management
FX Multi Strategy (Diverse)
Capricorn Currency Management
FX Multi Strategy (Select)
Capricorn Currency Management
FX Multi Strategy (Vol 25)
Coeus Capital
Diversified Currency Fund
Credit Suisse Asset Management
Managed Futures Strategy Fund
Efficient Capital Management
Diversified Fund LV
Equinox Fund Management
Equinox Ampersand Strategy Fund
LoCorr Fund Management
LoCorr Macro Strategies
LoCorr Fund Management
Long/Short Commodity Strats
RPM Risk & Portfolio Management
RPM Evolving
Abbey Capital
Abbey Alternative Fund
Abbey Capital
Abbey Capital Futures Strategy
Altegris Advisors
Evolution
Capricorn Currency Management
FX Multi Strategy (Diverse)
Capricorn Currency Management
FX Multi Strategy (Select)
Capricorn Currency Management
FX Multi Strategy (Vol 25)
Dunn Capital Management
D’Best Futures Fund L.P.
Efficient Capital Management
Diversified Fund LV
Equinox Fund Management
Equinox Ampersand Strategy Fund
Equinox Fund Management
MutualHedge Futures Strategy
James Alpha
Macro
LoCorr Fund Management
LoCorr Macro Strategies
LoCorr Fund Management
Long/Short Commodity Strats
RPM Risk & Portfolio Management
RPM Evolving
Abbey Capital
Abbey Alternative Fund
Abbey Capital
Abbey Capital Futures Strategy
Altegris Advisors
Evolution
Atkins and Associates
Global Currency Reserve LP
Dunn Capital Management
D’Best Futures Fund L.P.
Equinox Fund Management
Equinox Ampersand Strategy Fund
Equinox Fund Management
MutualHedge Futures Strategy
James Alpha
Macro
LoCorr Fund Management
LoCorr Macro Strategies
LoCorr Fund Management
Long/Short Commodity Strats
RPM Risk & Portfolio Management
RPM Evolving
RPM Risk & Portfolio Management
RPM Galaxy
Abbey Capital
Abbey Alternative Fund
Abbey Capital
Abbey Capital Futures Strategy
Altegris Advisors
Evolution
Altegris Advisors
Managed Futures
Dunn Capital Management
D’Best Futures Fund L.P.
Equinox Fund Management
Equinox Ampersand Strategy Fund
Equinox Fund Management
MutualHedge Futures Strategy
James Alpha
Macro
LoCorr Fund Management
LoCorr Macro Strategies
LoCorr Fund Management
Long/Short Commodity Strats
Optimized Portfolio Management Stockholm
CARNEO Systematic Alpha
RPM Risk & Portfolio Management
RPM Evolving
RPM Risk & Portfolio Management
RPM Galaxy
Steben
Managed Futures Strategy
Abbey Capital
Abbey Alternative Fund
Abbey Capital
Abbey Capital Futures Strategy
AC Investment Mgmt
AGR Master
Alfakraft
Alfa Quant
Atkins and Associates
Global Currency Reserve LP
Dunn Capital Management
D’Best Futures Fund L.P.
Efficient Capital Management
Diversified Fund
Efficient Capital Management
Diversified Fund LV
Equinox Fund Management
Equinox Ampersand Strategy Fund
Equinox Fund Management
MutualHedge Futures Strategy
Hehmeyer Capital Management
Multi-Strategy Managed Futures
HSBC Republic Management
HSBC Trading AdvantEdge
Optimized Portfolio Management Stockholm
CARNEO Systematic Alpha A
Progressive Capital Partners
Cherry Blossom Trend Enhanced Fund (1512 St Gallen / SysCat)