The J8 CTA Index represents the most common practices in the Commodity Trading Advisors and Managed Futures Industry. They are used bottom-up to construct this index and are derived from survey findings. The index construction is not optimised. The survey findings and index methodology have been published in peer reviewed journals.
The J8 CTA Index is an investible and intuitive representation of the CTA industry by using the industry’s most popular markets and management techniques. Is offers beta-exposure to CTA-like returns.
The first publication date of the index was November 2015 and the methodology has remained constant since then. This index is hypothetical and the data on this page is published from an educational perspective. The index exhibits a high correlation to the NilssonHedge CTA Index (which mostly consists of trend following managers).
|First Publication Date||Nov-2015|
|Target Volatility||7.20% p.a.|
|Trading Style||Trend Following|
|Risk Management||Inverse Volatility Weighted & Target Volatility with Leverage Cap|
|Transparency||Public Rule Book|
|Owner||J8 Capital Management LLP|
The J8 CTA index trades the six most popular and different global markets as per J8’s CTA survey. The Markets are traded with 12-month momentum and represent a concentrated replication of the Trend Following trading style of CTAs. NilssonHedge has obtained permission to republish exposure as per their trading rules. The charts show directional exposures as a percentage of the portfolio, measured as the underlying notional value of the Futures contracts, adjusted for the applicable leverage multiplier. The charts give general insights into the positions of long-term CTAs. Exposures are updated weekly and data should be assumed to be delayed. Markets are allocated based on the inverse three-month volatility.
Performance since launch
Risk Controls / Targeting
The portfolio uses a dynamic volatility targeting mechanism that seeks to target constant volatility of the index, using historical three-month volatility and subject to a constraint of 200%. The target volatility for the index is 7.2% and risk is managed from a top-down perspective in addition to the bottom-up risk targeting for individual markets.
When markets are exhibiting low volatility and/or decreasing correlations between market trends, leverage will increase. Leverage will decrease if market volatility is increasing and/or correlation is increasing.
The weights per individual market are determined bottom-up. The portfolio allocates more to less volatile and less to more volatile markets.
Fees and assumptions
The returns on this page is net of 2% management fee and 20% high-water mark performance fee (mirroring the most common fee structure in the CTA universe). 25bps slippage on the unleveraged returns are included. No compounded interest rate and no license fee is included.
J8 Capital Management LLP fully owns all rights to the Intellectual Property of the Index. Exposure to the Index may only be offered to investors by broker dealers, investment managers, or other entities or managers, who have entered into a license agreement with J8 Capital Management LLP. Please contact J8 directly for further enquiry.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.