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Daily CTA Index

NilssonHedge provides a Daily CTA/Managed Futures index, based on the average returns for managers providing daily return data.

The managers included in the index are based on strategies that we have identified as consisting of Managed Futures funds (or using similar strategies) reporting Daily Numbers. Most of the managers are diversified across styles and sectors while others are focused on a particular sector. Some of them deploy leverage, to offset the risk reduction that a multiple return source allocation typically implies.

The managers included in the index are based on strategies that we have identified as consisting of Managed Futures funds (or using similar strategies) reporting Daily Numbers. Most of the managers are diversified across styles and sectors while others are focused on a particular sector. Some of them deploy leverage, to offset the risk reduction that a multiple return source allocation typically implies.

From Jan 1st, 2020 the index discloses constituents. The Index should be used as an indication of performance and general direction of pnl. The index is updated daily, without any manual checks. Thus the data may not be consistent over time and contain errors. The index does not adjust for different fee levels or entry/exit fees.

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.

Methodology

In line with our method to build the database, we collect data from a large number of sources. A difference to monthly data is that we need to process daily returns much more carefully, apply filters and aggregate differently.

  • Data is collected daily. One of the many problems with daily data is that is not cleaned in the same manner and may contain noise.
  • To remove noise, for instance, driven by dividend payments that are not properly incorporated into the return stream, we take the median return over many share classes. This removes some of the spikes, but not all of them.
  • Moreover, we apply a statistical filter to remove outliers. Here, we control for market movements that cause the filter to remove true market returns. An example of this is, for instance, the CHF intervention in 2015, which caused large losses for several currency managers.
  • As we aggregate over share classes and most managers only show the “cheapest” share class in their official track-record, our returns tend to show a lower rate of return and potentially more volatility.
  • As part of our final statistical test, we correlate the equivalent monthly returns, from daily compounded returns, with monthly returns streams that already exist in the monthly database.
  • Entry and Exit fees are ignored.

Index Constituents

Abbey CapitalAbbey Capital Futures Strategy
Abbey CapitalAbbey Capital Multi Asset
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl
AQR Capital ManagementAQR Managed Futures
AQR Capital ManagementAQR Managed Futures HV Strategy
Natixis ASGASG
Standpoint Multi-Asset FundMulti-Asset Fund
DoubleLine Multi-Asset Trend FundMulti-Asset Trend Fund
Chesapeake Capital CorporationEquinox Chesapeake Strategy
Altegris AdvisorsEvolution Strategy
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl
GuggenheimGuggenheim Managed Futures Strategy
JHancock Diversified Macro FundJHancock Diversified Macro Fund
JHancock Alternative Risk Premia FundJHancock Alternative Risk Premia Fund
LoCorr Fund ManagementLoCorr Macro Strategies
LoCorr Fund ManagementLong/Short Commodity Strats
James AlphaMacro
Campbell & CompanyManaged Futures
FS InvestmentsManaged Futures
GuidePathManaged Futures Strat
LongboardManaged Futures Strategy
Dunn Capital ManagementManaged Futures Strategy (Arrow)
Superfund Capital ManagementManaged Futures Strategy 40act
Credit Suisse Asset ManagementManaged Futures Strategy Fund
Catalyst Capital AdvisorsMulti-Strategy
Equinox Fund ManagementMutualHedge Futures Strategy
PGIM Wadhwani Systematic Absolute ReturnPGIM Wadhwani Systematic Absolute Return
Rational AdvisorsRational/ReSolve Adaptive Asset Allc
Redwood Systematic Macro Trnd (SMarT) FdRedwood Systematic Macro Trnd (SMarT) Fd
Graham Capital Mgmt LPTactical Trend
PIMCOTrends Composite
Virtus FORT Trend FundVirtus FORT Trend Fund
361 Capital361 Global Managed Futures Strategy Fund
361 Capital361 Managed Futures Strategy Fund
Abbey CapitalAbbey Capital Futures Strategy
Altegris AdvisorsEvolution Strategy
AQR Capital ManagementAQR Managed Futures
AQR Capital ManagementAQR Managed Futures HV Strategy
Aspect Capital LimitedAspect Core Trend Fund
Campbell & CompanyCampbell Dynamic Trend Fund
Campbell & CompanyManaged Futures
Catalyst Capital AdvisorsMulti-Strategy
Chesapeake Capital CorporationEquinox Chesapeake Strategy
Credit Suisse Asset ManagementManaged Futures Strategy Fund
Dorsey WrightDWA Tactical
Dunn Capital ManagementManaged Futures Strategy (Arrow)
Equinox Fund ManagementEquinox Ampersand Strategy Fund
Equinox Fund ManagementMutualHedge Futures Strategy
FS InvestmentsManaged Futures
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl
Graham Capital Mgmt LPTactical Trend
GuggenheimGuggenheim Managed Futures Strategy
GuidePathManaged Futures Strat
James AlphaMacro
JHancockAbsolute Return Currency
LoCorr Fund ManagementLoCorr Macro Strategies
LoCorr Fund ManagementLong/Short Commodity Strats
LongboardManaged Futures Strategy
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl
PanAgora Asset ManagementPanAgora Managed Futures Strategy
PIMCOEm Mkts Ccy and S/T Invsmt
PIMCOTrends Composite
Rational AdvisorsRational/ReSolve Adaptive Asset Allc
Superfund Capital ManagementManaged Futures Strategy 40act
USA MutualsUSA Mutuals Navigator Institutional
Virtus FORT Trend FundVirtus FORT Trend Fund
361 Capital361 Global Managed Futures Strategy Fund
361 Capital361 Managed Futures Strategy Fund
Abbey CapitalAbbey Capital Futures Strategy
Allianz Global InvestorsAllianzGI Managed Futures Strategy
Altegris AdvisorsManaged Futures
AQR Capital ManagementAQR Managed Futures
AQR Capital ManagementAQR Managed Futures HV Strategy
Aspect Capital LimitedAspect Core Trend Fund
Campbell & CompanyManaged Futures
Campbell & CompanyCampbell Dynamic Trend Fund
Catalyst Capital AdvisorsMulti-Strategy
Chesapeake Capital CorporationEquinox Chesapeake Strategy
Credit Suisse Asset ManagementManaged Futures Strategy Fund
Dorsey WrightDWA Tactical
Dunn Capital ManagementManaged Futures Strategy (Arrow)
Equinox Fund ManagementMutualHedge Futures Strategy
FS InvestmentsManaged Futures
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl
Graham Capital Mgmt LPTactical Trend
Gresham Investment ManagementManaged Futures Strat
GSA Capital PartnersGSA Trend Fund
GuidePathManaged Futures Strat
IPM Informed Portfolio ManagementIPM Systematic Macro
James AlphaMacro
LoCorr Fund ManagementLoCorr Macro Strategies
LoCorr Fund ManagementLong/Short Commodity Strats
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl
PanAgora Asset ManagementPanAgora Managed Futures Strategy
PIMCOTrends Composite
Rational AdvisorsRational/ReSolve Adaptive Asset Allc
StebenManaged Futures Strategy