A Comparison of CTA Indexes

November 26, 2013 12:09 AM
Blog first appeared in DanCollinsReport on Nov. 26, 2013

Investors and money managers interested in diversifying into Managed Futures are often attracted to the daily transparency and better liquidity that Managed Futures have over the typical hedge-fund structure. Professional money managers in the Managed Futures space are known by the regulatory designation of Commodity Trading Advisors (CTAs). However, with hundreds of CTA programs from which to choose, it can be daunting to know where to start one’s analysis of this investment space. One place to begin is with CTA indexes, which compile and track the performance of different CTA programs. This paper summarizes and analyzes information on over 10 CTA indexes, and while it attempts to encompass the most-oft used indexes, it is not a completely exhaustive list. Finally, since much of this information is not readily available, the purpose of this paper is to serve as an effective and efficient informational resource for the industry going forward.

Upon delving into this material one quickly discovers there are differences between the various CTA indexes in terms of construction methodology, the number of CTA programs tracked, and minimum requirements with regard to track record length, financial auditing, and assets being managed.

Before presenting the information on the indexes themselves, we thought it would be helpful to offer some background on the terms “Managed Futures”, “CTAs”, and “Systematic Trend Following.”

A Comparison of CTA Indexes (Nov 2013)

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