Systematic Momentum CTA Index

NilssonHedge provides a Systematic Momentum CTA/Managed Futures index, based on the average returns of the underlying managers. We do not provide backtracked returns nor allow for “instant track records”.

The managers included in the index are based on strategies that we have identified as Systematic Trend Following strategies and are predominately following a momentum strategy. That is, strategies that are using programmable trend-following rules in various shapes and forms. These managers are generally not short-term but have holding periods of at least several weeks. Occasionally much longer.

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.

While it is not trivial to exactly define what a systematic strategy is, commonalities including coded rules for trading decisions, systematic rankings screens, and relatively strict implementation of the trading signals are frequently occurring within this classification. Some managers may be partly systematic and use discretion. In such cases, NilssonHedge makes a judgment to classify the strategy as either a Systematic or Discretionary manager.

Index Constituents