The iSTOXX Efficient Capital Managed Futures 20 Index will enable market participants 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 a pool of CTAs, or as an underlying for financial products.
CTAs invest across listed financial futures markets such as commodities, equity indices, fixed income and foreign exchange, as well as in interbank FX.
This broad exposure ultimately leads to a well diversified index.
The purpose of the iSTOXX Efficient Capital Managed Futures 20 Index is to provide a representation of the Managed Futures industry returns.
The 20 CTAs in the index are weighted equally when adjusted for risk.
The iSTOXX Efficient Capital Managed Futures 20 Index is reconstituted annually and rebalanced on a monthly basis.