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
Opalesque CTA Index:
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2019 | -4.64% | -0.72% | - | - | - | - | - | - | - | - | - | - | -5.33% |
2018 | 4.57% | -12.83% | -1.61% | -0.3% | -9.87% | 27.16% | -1.19% | 1.66% | -4.19% | -2.13% | -3.97% | 4.22% | -3.39% |
2017 | 0.8% | 2.16% | -0.99% | -0.69% | 0.3% | -1.22% | 0.86% | 1.2% | -1.16% | 2.86% | 1.2% | 2.65% | 8.14% |
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% |