A Comparison of Indices

Red Rock Capital

Thomas Rollinger

Research

2 Pages

Red Rock Capital compares the leading CTA indices, explaining how construction methods, weighting approaches, and inclusion criteria shape performance results. The paper argues that no single index fully represents managed futures, showing how methodology can matter as much as returns when evaluating managers.

Key Takeaways

Methodology Drives Results: The Barclay CTA Index includes 582 programs while the Newedge Trend Index tracks only 10, producing meaningfully different representations of the managed futures universe.
Weighting Matters Most: Asset weighted indices reflect capital allocation, while equal weighted indices better represent the average manager. The HFRI Systematic Diversified Index generated a 7.62% annualized return versus 3.95% for the Barclay BTOP50.
Risk Profiles Differ: Maximum drawdowns ranged from 7.89% for the Barclay CTA Index to 17.53% for the Newedge Trend Index, highlighting how construction choices affect downside characteristics.
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