What is the CTA Index from HFR?
Hedge Fund Research, Inc. (HFR) is the global leader in the alternative investment industry. Established in 1992, HFR specializes in the areas of indexation and analysis of hedge funds. HFR Database, the most comprehensive resource available for hedge fund investors, includes fund-level detail on historical performance and assets, as well as firm characteristics on both the broadest and most influential hedge fund managers. HFR has developed the industry’s most detailed fund classification system, enabling granular and specific queries for relative performance measurement, peer group analysis and benchmarking.
A CTA index is a broad definition of trading strategies which allows managers to trade commodities and currencies to the aim of producing a profit. HFR compiles a wide variety of indices ranging from industry-aggregate levels down to specific, niche areas of sub-strategy and regional investment focus.
The HFRI Monthly Indices (“HFRI”) are a series of benchmarks designed to reflect hedge fund industry performance by constructing equally weighted composites of constituent funds, as reported by the hedge fund managers listed within HFR Database. The HFRI range in breadth from the industry-level view of the HFRI Fund Weighted Composite Index, which encompasses over 2000 funds, to the increasingly specific-level of the sub-strategy classifications. A detailed methodology of how the CTA index is composed can be found on the hedgefundreseach.com website.
The established Capricorn fxST (Lev1) currency strategy that was first launched in January 1999, has been selected as constituent of the HFRI Index from the 3rd quarter of 2014.
With a track record which spans over a decade, the Capricorn fxST (Lev1) program has outperformed the S&CTAP500 over the same period, and at a significantly lower volatility ratio when analyzing the daily and monthly returns. Categorized as a discretionary strategy trading intra-week views on the most liquid currencies, the program was included in the HFRI Macro Index which compiles the performance of the CTA’s that meet their minimum AUM or length of track record criteria.
Mikkel Thorup the Capricorn CIO said on his trading strategy, “The fact that I have been trading the program since 1999 with over 12 positive years is testament to the strength behind the investment strategy. And then being acknowledged with the inclusion as a constituent of the HFRI Indices is one of the Industry’s most recognizable marks of distinction.” The Capricorn fxST (Lev1) program has achieved a number of accolades since inception ranging from participation in investable indices to award nominations.