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:
CISDM CTA Equal Weighted Index
The CISDM CTA Equal Weighted Index is designed to broadly represent the performance of all CTA programs in the Morningstar database that meet the inclusion requirements.
The index calculation methodology is designed to exclude, each month, constituent performance deemed to be an outlier observation. Each month, statistics are generated for CTA programs in the Morningstar database that meet the inclusion requirements and that have reported returns for that month. Programs whose returns are +/- 3 standard deviations from the average return are excluded. The index return for the month is the simple average return of the non-excluded programs.
As of December 2014, there were 262 constituent programs in the index.
The proprietor of the CISDM CTA Equal Weighted Index is the Center of International Securities and Derivatives Markets (CISDM) and their research analysts calculate the index. CISDM provides Morningstar with the index on a monthly basis and it is available without cost on both Morningstar’s and CISDM’s websites. See CISDM’s website at www.isenberg.umass.edu/CISDM or contact Patricia Bonnett, Executive Director, at CISDM@isenberg.umass.edu.
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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.