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 Barclay BTOP50 Index is designed to represent the performance of CTA programs in the Barclay-Hedge database representing at least 50% of total assets in all CTA programs that are open to new investment. To qualify for inclusion in the index the program must be open to new investment, the manager must be willing to report daily returns, the program must have two years of performance history, and the program CTA must have at least three years of operating history.
The index calculation methodology is such that the index performance represents the return of a hypothetical portfolio comprising an equal dollar allocation to each index constituent at the beginning of each calendar year. During the fourth quarter of each year, all CTA programs in the BarclayHedge database that meet the inclusion requirements (candidate universe) are ranked by third quarter ending program assets. Beginning with the largest program, the constituent list for the following year is compiled by successively adding the next largest program to the constituent list until a minimum of 20 programs have been included and the cumulative program assets of the constituent list equals at least 50% of the total program assets of the candidate universe. The result of this process is the constituent list for the index for the following calendar year. At the beginning of the year a hypothetical portfolio is formed with each constituent program given an equal dollar 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, there were 20 constituent programs in the index representing $93.8 billion.
The proprietor of the Barclay BTOP50 Index is BarclayHedge, Ltd., and they also calculate the index. The
Founder of BarclayHedge, can be reached at firstname.lastname@example.org 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.