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
Accurate Quant | Accurate Global ZVQ [Darwin] |
Adalpha Asset Management | Diversified Short-Term |
Aenaon Markets | Aenaon Syncro 1x |
Aenaon Markets | Syncro Diversified – Absolute Return |
Aenaon Markets | Syncro Diversified – Vanilla |
Agility Trading | Trading Strategy |
Altiq | Futures Program |
Asmodeux | AsmodeuxGainM AUX [Darwin] |
Auspice Capital Advisors | Short Term (AST) |
Automaton Trading | Diversified Program II |
Bendex | SuperDarwin SUG [Darwin] |
BlueSea | SeaBreeze SEB [Darwin] |
Breakout Funds | Breakout Strategy |
Chelton Wealth | Balanced Compounding |
Chelton Wealth | G10 Major Currencies & Crosses |
Claughton Capital | ARP Institutional Program |
Coloma Capital Futures | Coloma Capital Futures |
Conquest | Quantitative Macro |
County Cork | Commodity L/S Strategy |
Crabel Capital Mgmt | Crabel Gemini |
Crabel Capital Mgmt | Crabel Gemini 1.5x |
Crabel Capital Mgmt | Crabel Multi-Product |
Crabel Capital Mgmt | Crabel Multi-Product 1.5x |
Deep Field Capital | Active Intraday Momentum |
Deep Field Capital | Intraday Convexity Capture (ICC) |
Deep Field Capital | Intraday Crisis Alpha |
DeltaHedge R&O | DH Nix Alpha |
dormouse Limited | Dormouse Futures Program |
Finalyze Capital | Institutional Program Client |
Finbou | Fermi FEG [Darwin] |
Finbou | Thales THA [Darwin] |
GAIA Capital Management | GAIA FX+ |
GAIA Capital Management | GAIA Gold |
GAIA Capital Management | GCM ST |
GT Capital CTA | Systematic Day Trading |
Invest In Vol | Smart Vol |
Kaiser Trading Group | Kaiser Trading Group Pty. Ltd. |
Leibniz Group | Regiment |
Low Drowdown | TradingDaysBS BSX [Darwin] |
Lubov | BLM [Darwin] |
Lumos | 4Cast Strategy |
Lyncestis | FX Basket |
Lyncestis | FX Index Arbitrage |
Lyncestis | FX Quant 11 |
Lyncestis | Volatility Trading Program |
Mayfair Capital Investments | MES555 |
MomentumCapture | MomentumCapture BAX [Darwin] |
Nuvision Capital | Non-Correlated Equity Index |
NuWave Investment Management | Short-Term Futures Portfolio |
OakLadder | RuleBasedTrading ERQ [Darwin] |
OKCM | OkcmJPT JTL [Darwin] |
Premium Capital Advisors AG | Curr. Plus – EM Prec. Metals |
Quantitative Investment Management | Global Program |
Quantitative Investment Management | Global Program 3x |
R Best | Private Client Program |
R Best | Private Client Program 2x |
R Best | World Select Program |
Revolution Capital Management | Global Alpha Program |
Revolution Capital Management | Mosaic Institutional Program |
RG Niederhoffer Capital Management | Diversified Program |
RG Niederhoffer Capital Management | RGN Smart Alpha |
RG Niederhoffer Capital Management | RGN Smart Alpha Fund 2X Ltd |
Ridgedale Advisors LP | RMAC Alpha Program |
ROE Capital Management | Statera Micro Program |
ROE Capital Management | Statera MR Program |
Senaca Capital | Ascinaa G10 Currency Futures |
Seneca | Ascinaa G10 Currency Futures |
Sersan Sistemas | Sersan SYO [Darwin] |
Soaring Pelican | Overnight Advantage |
Stein Investment Management | Trading Evolution |
SysCat Capital | Niche Quantitative Strategies |
Systematic Alpha Management | Intraday Trading 1x |
Systematic Alpha Management | Intraday Trading 2x |
t24 Capital | TCM Global Index Fund |
Trade Like A Machine | Troissy TRO [Darwin] |
Trading Move | Smooth USD BOT [Darwin] |
Trading Tend | Darwin USI [Darwin] |
Trainer | Trainer TXR [Darwin] |
TrueAlpha Technology Asset Mgmt | PMC Managed Futures SP |
WG Wealth Guardian | Trend Fix Portfolio |
Yuliya | WellManaged WGP [Darwin] |
Adalpha Asset Management | Diversified Short-Term |
Agility Trading | Trading Strategy |
Algorithmic Futures | Tandem Trading Program |
Altiq | Futures Program |
Breakout Funds | Breakout Strategy |
Claughton Capital | ARP Institutional Program |
Crabel Capital Mgmt | Crabel Gemini |
Crabel Capital Mgmt | Crabel Gemini 1.5x |
Crabel Capital Mgmt | Crabel Multi-Product |
dormouse Limited | Dormouse Futures Program |
Glendorn Capital Management | MultiWeek Trading Strategy |
GT Capital CTA | Systematic Day Trading |
Kaiser Trading Group | Kaiser Trading Group Pty. Ltd. |
Lumos | 4Cast Strategy |
Method Asset Management | Genesis Trading Program |
NuWave Investment Management | Short-Term Futures Portfolio |
Praus Capital Management | Quantiative Strategies |
Premium Capital Advisors AG | Curr. Plus – EM Prec. Metals |
Quantitative Investment Management | Global Program |
R Best | Private Client Program |
R Best | Private Client Program 2x |
R Best | World Select Program |
R G Niederhoffer Capital Management | Diversified Program |
RCube Asset Management | Genio Capital Systematic Macro |
Revolution Capital Management | Global Alpha Program |
Revolution Capital Management | Mosaic Institutional Program |
RG Niederhoffer Capital Management | Diversified Program |
RG Niederhoffer Capital Management | RGN Smart Alpha |
Ridgedale Advisors LP | RMAC Alpha Program |
Rotella Capital Management | Qdeck Short-Term Momentum |
Superfund Capital Management | Superfund Red One SP 1x |
SysCat Capital | Niche Quantitative Strategies |
t24 Capital | TCM Global Index Fund |
Trade Capital Markets Limited | Iapetus |
TrueAlpha Technology Asset Mgmt | PMC Managed Futures SP |
Westrock Asset Management | Westrock Alpha Master Fund LP |
WG Wealth Guardian | Trend Fix Portfolio |
Adalpha Asset Management | Diversified Short-Term |
Algorithmic Futures | Tandem Trading Program |
Alpha CP Trading | Alpha CP Trading |
Altiq | Futures Program |
Ambient Capital Management | Intraday Futures |
Aspect Capital Limited | Aspect Tactical Opportunities |
Breakout Funds | Breakout Strategy |
Claughton Capital | ARP Institutional Program |
Crabel Capital Mgmt | Crabel Gemini |
Crabel Capital Mgmt | Crabel Multi-Product |
Crabel Capital Mgmt | Crabel WPD Futures |
dormouse Limited | Dormouse Futures Program |
Glendorn Capital Management | MultiWeek Trading Strategy |
GT Capital CTA | Systematic Day Trading |
Henrik Hallenborg | Micro Macro |
Kaiser Trading Group | Kaiser Trading Group Pty. Ltd. |
Linnis | Linnis ONE LP |
Mondiale Asset Management | Leveraged Trading Proram |
NuWave Investment Management | Short-Term Futures Portfolio |
PGR Capital | Mean Reversion |
Praus Capital Management | Quantiative Strategies |
Quantitative Investment Management | Global Program |
Quantitative Investment Management | Global Program 3x |
R Best | Private Client Program |
R Best | Private Client Program 2x |
R Best | World Select Program |
R G Niederhoffer Capital Management | Diversified Program |
RCube Asset Management | Singularis Short Term |
Revolution Capital Management | Global Alpha Program |
Revolution Capital Management | Mosaic Institutional Program |
RG Niederhoffer Capital Management | Diversified Program |
RG Niederhoffer Capital Management | RGN Smart Alpha |
SysCat Capital | Niche Quantitative Strategies |
t24 Capital | TCM Global Index Fund |
TrueAlpha Technology Asset Mgmt | PMC Managed Futures SP |
Westrock Asset Management | Westrock Alpha Master Fund LP |
WG Wealth Guardian | Trend Fix Portfolio |
1512 SG Capital Management AG | St.Gallen I Counter-Trend (gross) (daily) |
Adalpha Asset Management | Diversified Short-Term |
Algorithmic Futures | Tandem Trading Program |
Altiq | Futures Program |
Automaton Trading | Diversified Program I |
Breakout Funds | Breakout Strategy |
Capital Fund Management | Discus 1x |
Capital Fund Management | Discus 2x |
Claughton Capital | ARP Institutional Program |
Crabel Capital Mgmt | Crabel Gemini |
Crabel Capital Mgmt | Crabel Multi-Product |
Crabel Capital Mgmt | Crabel Multi-Product 1.5X AA |
Crabel Capital Mgmt | Crabel WPD Futures |
Crystal Tower Advisors | Crystal Tower Futures |
dormouse Limited | Dormouse Futures Program |
Glendorn Capital Management | MultiWeek Trading Strategy |
Kaiser Trading Group | Kaiser Trading Group Pty. Ltd. |
Laurel Canyon Partners | Laurel Canyon Pure Alpha LP |
Linnis | Linnis ONE LP |
Mondiale Asset Management | Leveraged Trading Proram |
Morris Capital Australia Pty | Morris Al |
Morris Capital Australia Pty | ST Futu |
Numeri Capital Management | NUMERI Intraday |
NuWave Investment Management | Short-Term Futures Portfolio |
PGR Capital | Mean Reversion |
Portfolio Concept | PC Global Systematic |
Praus Capital Management | Quantiative Strategies |
Premium Capital Advisors AG | Curr. Plus – EM Prec. Metals |
Quantitative Investment Management | Global Program |
Quantitative Investment Management | Global Program 3x |
R Best | Private Client Plus Program |
R Best | Private Client Program |
R Best | Private Client Program 2x |
R Best | World Select Program |
Revolution Capital Management | Global Alpha Program |
Revolution Capital Management | Mosaic Institutional Program |
Superfund Capital Management | Superfund Red One SP 1.5x |
Superfund Capital Management | Superfund Red One SP 1x |
Superfund Capital Management | Superfund Red One SP 2x |
t24 Capital | t24 Capital Partners Master Fund |
t24 Capital | TCM Global Index Fund |
t24 Capital | TCM Global Index Fund Flagship (Cayman) |
Tiber Capital | Tiber Diversified Prog |
Urban Tree Capital | UTC Plus Program |
Westrock Asset Management | Westrock Alpha Master Fund LP |
WG Wealth Guardian | Trend Fix Portfolio |
White Indian Trading Company | Navajo |
Adalpha Asset Management | Diversified Short-Term |
Altiq | Futures Program |
Amplitude Capital International | Adagio Strategy |
Amplitude Capital International | Dynamic Strategy |
Amplitude Capital International | Klassik Strategy |
Aspect Capital Limited | Aspect Tactical Opportunities |
Centurion Investment Management | 2X Composite |
Centurion Investment Management | Zero Margin |
Claughton Capital | ARP Institutional Program |
Conquest Capital Group | Conquest STAR |
Conquest Capital Group | Managed Futures Select |
Crabel Capital Mgmt | Crabel Gemini |
Crabel Capital Mgmt | Crabel Multi-Product |
Crabel Capital Mgmt | Crabel Multi-Product 1.5X AA |
Crabel Capital Mgmt | Crabel WPD Futures |
CTS Asset Management | Flagship Program |
dormouse Limited | Dormouse Futures Program |
Estlander & Partners | Presto |
Glendorn Capital Management | MultiWeek Trading Strategy |
Kaiser Trading Group Pty | Kaiser Trading Fund 2X (B) |
Laurel Canyon Partners | Laurel Canyon Pure Alpha LP |
Levex Capital Management | 3636 Daytrading |
Linnis | Linnis ONE LP |
ML Systems | Seldon Classic Strategy |
Mondiale Asset Management | Trading 2X |
Morris Capital Australia Pty | Morris Al |
Morris Capital Australia Pty | ST Futu |
Neptune Investing | Navigator Program |
Numeri Capital Management | NUMERI Intraday |
NuWave Investment Management | Short-Term Futures Portfolio |
PGR Capital | Mean Reversion |
Premium Capital Advisors AG | Curr. Plus – EM Prec. Metals |
Quantitative Investment Management | Global Program |
Quantitative Investment Management | Global Program 3x |
Quantmetrics Capital Management | QM Directional 10V |
Quantmetrics Capital Management | QM Multi-Strategy Portfolio |
Quantmetrics Capital Management | QM Premier 12V |
R Best | Private Client Plus Program |
R Best | Private Client Program |
R Best | World Select Program |
Revolution Capital Management | Global Alpha Program |
Revolution Capital Management | Mosaic Institutional Program |
RG Niederhoffer Capital Management | Diversified Program |
Ridgedale Advisors LP | RMAC Alpha Program |
Tiber Capital | Tiber Diversified Prog |
TrueAlpha Technology Asset Mgmt | PMC Managed Futures SP |
Urban Tree Capital | UTC Plus Program |
Westrock Asset Management | Westrock Alpha Master Fund LP |
White Indian Trading Company | Navajo |
White Indian Trading Company | Navajo Program *PROP* |
Whitehaven SPC | Whitehaven Correlation Fund SP |