Systematic Short Term CTA Index

NilssonHedge calculates a Systematic Short Term 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”. This index was launched in Jan-2023 and is based on the actual composition of the database, including survivorship. It does not allow for instant track-record reporting.

The managers included in the index are based on strategies that we have identified as (Systematic) Short Term trading strategies and are predominately following a momentum strategy. That is, strategies that are using programmable rules in various shapes and forms to exploit anomalies, mean reversion, or short-term trends. These managers occasionally close out positions before the end of the day (“Intraday trading”) or may hold positions for a week.

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.

The difference between a momentum trader and a short-term trader is often judgemental. While we try to classify managers that are momentum traders as longer-term momentum traders, there will always be an overlap between momentum and short-term trading. Every long-term trend starts with an even shorter-term trend. A major factor for short-term traders is capacity, and there tends to be a correlation between the average holding period and capacity.

Index Constituents