This 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:
The SG CTA Trend Index is designed to represent the performance of the 10 largest Trend Following CTA programs. To qualify for inclusion in the index, a program must be open to new investment, report returns on a daily basis, be an industry recognized Trend Follower, and exhibit significant correlation to trend following peers and the SG Trend Indicator.
At the end of each year all CTA programs in the SG CTA database that meet the inclusion requirements are ranked by program assets. The 10 largest programs are selected as index constituents for the following year. At the beginning of the year a hypothetical portfolio is formed with each constituent
program given an equal allocation. The index daily return is simply the daily return of this hypothetical
portfolio. There is no rebalancing of allocations during the year.
As of December 2014, the 10 programs in the index represented assets of approximately $73.8 billion.
The proprietor of the SG Trend Index is Société Générale, and they, in conjunction with BarclayHedge, calculate the index. The index is available without cost online at https://cib.societegenerale.com/en/sg-prime-services-indices/ and James Skeggs, Managing Director, Global Head of Alternative Investments Consulting, can be reached at email@example.com.
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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.