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:
Credit Suisse Managed Futures Hedge Fund Index
The Credit Suisse Managed Futures Hedge Fund Index is designed to broadly represent the performance
of Managed Futures hedge funds (in contrast to CTA programs) in the Credit Suisse database represent-ing at least 85% of total Managed Futures hedge fund assets under management. To qualify for inclusion in the index, a fund must provide audited financials, have a minimum $50 million in assets, have a minimum one year of performance history, and consistently report to the database.
At the end of each quarter, funds that meet the inclusion requirements are added to the constituent list for the following quarter. Constituent funds remain in the index until they cease operations even though they may not continue to meet the initial inclusion requirements. The index return each month is the asset weighted average return of all constituents for that month.
As of December 2014, the 32 constituent funds in the index represented approximately $58 billion in assets.
Credit Suisse is both the proprietor and responsible for calculating the Credit Suisse Managed Futures Index. The index is available without cost online at www.hedgeindex.com and Credit Suisse can be reached at firstname.lastname@example.org.
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.