Opalesque Solutions

Methodology of the Opalesque CTA Index

The Opalesque CTA Index tracks the performance of all managed futures strategies listed in this database.

Indexing is based on the following methodology:


FUND SELECTION

- All funds must report monthly returns net of fees

- Funds must be unique. We do not include duplicate share classes, both onshore and offshore version of the same fund, currency denominations, etc.


INDEX CALCULATION

- One month's index performance will be calculated on the 27th of the following month, including only funds that have reported estimated results at that time.

- At the same time, results of the preceding 2 months will be updated. All earlier index results will be locked.


NEW AND SHUT DOWN FUNDS

To ensure that the Managed Futures indices are reliable benchmarks,

- Performance data of new funds will be included starting the month of their addition

- Track records of shut down funds or funds that stop reporting will remain in the index permanently


Index_Chart

Opalesque CTA Index:


Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 0.8% 2.16% -0.99% -0.69% 0.3% -1.22% 0.86% 1.2% -1.13% 2.93% -0.17% - 4.03%
2016 2.51% 1.12% 0.99% 1.98% 0.32% 1.15% 1.56% -2.57% 0.15% -0.37% 2.86% 2.02% 12.24%
2015 1.69% 1.27% 1.12% 1.5% 0.4% 0.31% 0.35% -1.07% 1.56% -1.08% -1.92% -1.04% 3.05%
2014 -0.83% 1.37% 0.7% 1.94% 0.41% 0.66% -1.18% 2.57% -0.86% -0.14% 1.57% -1.31% 4.92%
2013 1.1% -0.84% 0.35% 0.76% -1.6% -1.08% -0.93% -0.48% -0.29% 2.2% 0.91% 1.51% 1.54%
2012 0.53% 0.85% -1.03% 0.03% 1.92% -1.48% 2.92% -0.27% -0.99% -2.14% -0.05% 0.2% 0.38%
2011 -0.25% 1.79% -0.63% 2.99% -2.34% -2.23% 2.07% 0.61% 0.54% -2.01% 0.37% 0.27% 1.02%
2010 -1.7% 0.81% 1.42% 0.87% -0.9% 0.66% 0.23% 2.47% 3.15% 3.23% -1.3% 4.38% 13.94%
2009 0.48% 0.21% -1.19% -0.49% 3.21% -0.84% -0.38% 1.18% 1.1% -0.73% 3.17% -1.33% 4.34%
2008 2.79% 8.37% -0.18% -0.38% 2% 2.85% -2.62% 0.05% 0.33% 4.18% 1.84% 2.2% 23.17%
2007 1.07% -1.05% -1.65% 2.41% 1.63% 1.83% -1.04% -1.9% 6.51% 3.41% 1.48% 2.44% 15.87%
2006 3.07% -1.41% 2.73% 4.78% -0.98% -0.68% -1.57% 0.79% -0.61% 1.78% 2.92% 0.13% 11.25%
2005 -2.27% 0.86% 0.2% -2.09% 2.18% 2.77% -0.16% 1.98% 1.4% -0.47% 3.48% 0.67% 8.7%
2004 1.15% 5.62% 0.84% -3.63% 0.1% -1.95% 0.31% -0.43% 2.22% 2.41% 3.99% -0.05% 10.74%