NilssonHedge provides a Daily CTA/Managed Futures index, based on the average returns of the underlying managers.
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 style and sector while other 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.
Index Constituents for 2020 can be found here.
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.
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.