Systematic Quant CTA Index

The managers included in the index are based on strategies that we have identified as mainly non-Trend Following strategies. In this category, we have included: Short Term, Market Neutral, AI, Seasonal, Fundamental, Contrarian, Sentiment, Behavioral, and Tactical strategies. In short, strategies that are not primarily driven by trend-following logic but seek to exploit other phenomena within Global Markets. While somewhat correlated to market trends, they display the diversification potential from strategies that are using uncommon strategies (at least within the CTA universe).

The Systematic Quant CTA/Managed Futures index is based on the average returns of the underlying managers. We do not provide backtracked returns nor allow for “instant track records”. The index was launched in January 2023 and returns from 2019-2022 is based on the actual database state an in point in time.

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.

We have purposefully excluded “multi-strategy” strategies as they either are difficult to classify or contain a mix of sub-strategies, from a return perspective, these may occasionally look like trend strategies.

Index Constituents