NilssonHedge provides a Systematic 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 (mostly) Systematic strategies. That is, strategies that are using programmable rules executed in a mostly mechanical manner.
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.
While it is not trivial to exactly define what a systematic strategy is, commonalities included coded rules for trading decisions, systematic rankings screens and a relatively strict implementation of the trading signals are frequently occuring within this classification.
For a list of the index constituents 2019 click here.
For a list of the index constituents 2020 click here.