Stoxx launches managed futures index
Stoxx has launched the iStoxx Efficient Capital Managed Futures 20 Index, which is based on research provided by Efficient Capital Management.
The new index is comprised of 20 of the largest commodity trading advisers (CTAs) by assets under management.
The index will enable Stoxx’s clients to measure the composite performance of some of the world’s largest CTAs on a daily basis. It can also be used as a benchmark against a single CTA or pool of CTAs, or as underlying for financial products.
CTAs invest across listed financial futures markets such as commodities, equity indices, fixed income and foreign exchange, as well as into interbank FX. This broad exposure ultimately leads to a well diversified index.
“Today’s launch of the iStoxx Efficient Capital Managed Futures 20 Index marks another step of Stoxx’s quest to bring innovative concepts to the market, which are highly sophisticated but at the same time completely rules-based and transparent,” says Hartmut Graf, chief executive officer, Stoxx. “By including Efficient Capital Management’s data in our index, we can offer market participants access to a well-diversified pool of some of the world’s largest CTAs, which are a rapidly growing part of the hedge fund industry.”
The purpose of the index is to provide a representation of the managed futures industry returns. The index universe is made up of some of the largest CTAs globally, which are identified by Efficient Capital Management’s screening processes. These CTAs are ranked by assets under management and the top 20 to meet the following criteria are selected as index constituents: manage a minimum of USD100m in AUM, have a minimum three year track record, be open to new investments, provide access to a managed account and offer fees to institutional clients which are equal or lower than their publicly traded fund.
The index constituents are weighted equally when adjusted for risk as measured by the trailing 36 month volatility. The index will be reconstituted annually and rebalanced on a monthly basis.
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