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 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, portfolio that are delegating risk to external Managed Futures or CTA managers. Most of the managers are diversified across style and sector while other 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 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.
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 for 2019 click here.
For a list of the index constituents for 2020 click here.