Managed Futures Securities Based (MFSB) Old Indices

The Managed Futures Securities Based (MFSB) Old Indices are designed to mimic the performance of CTAs who employ trendfollowing or counter-trend strategies. CTAs trade in a number of derivatives markets including commodity, currency, interest rate, and equity derivatives markets. Trendfollowers employ momentum strategies that are designed to capture longer-term trends in asset prices. These passive indices use a momentum trading strategy that takes hypothetical long and short positions in a number of commodity, currency, and fixed income futures contracts. The indices can be tailored to CTAs who trade in particular markets or employ counter-trend or other systematic strategies. Empirical analysis of the indices indicate that the tracking error between a CTA portfolio and the passive benchmark is comparable to the tracking error between a typical equity mutual fund and the S&P500 index.

The methodology of the index construction is available for download:

The daily return history is also available for download: