HomeThis website and the accompanying white paper focus on the below list of 11 of the most widely followed CTA indices. Click on any of the index names to view a detailed summary on it:
Overview of CTA Indexes
Barclay Systematic Traders Index
The Barclay Systematic Traders Index is designed to represent the performance of CTA programs in the
BarclayHedge database whose approach is at least 95% systematic. To qualify for inclusion in the index, a program’s approach must be at least 95% systematic and have at least two years of performance history.
The index constituent list each year is comprised of all CTA programs that meet the inclusion requirements at the end of the prior year. At the beginning of the year a hypothetical portfolio is formed with each constituent program given an equal allocation. The index monthly rates of return are simply the monthly rates of return of this hypothetical portfolio. There is no rebalancing of allocations during the year.
As of December 2014, the 457 programs in the index represented assets of approximately $220.8 billion.
The proprietor of the Barclay Systematic Traders Index is BarclayHedge, Ltd., and they also calculate the index. The index is available via a $150 yearly subscription which provides a complete monthly historical data set for all of the Barclay CTA Indexes and monthly updates for the next 12 months. BarclayHedge’s website is www.barclayhedge.com and Sol Waksman, the President and Founder of BarclayHedge, can be reached at swaksman@barclayhedge.com or (641) 472-3456.
Copyright © 2003-2016 Red Rock Capital, LLC. All rights reserved.
The risk of loss in trading commodities & futures contracts can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. The high degree of leverage that is often obtainable in commodity trading can work against you as well as for you. The use of leverage can lead to large losses as well as gains. In some cases, managed commodity accounts are subject to substantial charges for management and advisory fees. It may be necessary for those accounts that are subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the Commodity Trading Advisor. The regulations of the Commodity Futures Trading Commission require that prospective clients of a CTA receive a disclosure document at or prior to the time an advisory agreement is delivered and that certain risk factors be highlighted. This document is readily accessible from Red Rock Capital, LLC. This brief statement cannot disclose all of the risks and other significant aspects of the commodity markets. Therefore, you should thoroughly review the disclosure document and study it carefully to determine whether such trading is appropriate for you in light of your financial condition. The CFTC has not passed upon the merits of participating in this trading program nor on the adequacy or accuracy of the disclosure document. Other disclosure statements are required to be provided you before a commodity account may be opened for you.
