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Barclay CTA Index
The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 428 programs included in the calculation of the Barclay CTA Index for the year 2007, which is unweighted and rebalanced at the beginning of each year.
To qualify for inclusion in the CTA Index, an advisor must have four years of prior performance history. Additional programs introduced by qualified advisors are not added to the Index until after their second year. These restrictions, which offset the high turnover rates of trading advisors as well as their artificially high short-term performance records, ensure the accuracy and reliability of the Barclay CTA Index.
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| 1980 |
63.69% |
1990 |
21.02% |
2000 |
7.86% |
| 1981 |
23.90% |
1991 |
3.73% |
2001 |
0.84% |
| 1982 |
16.68% |
1992 |
-0.91% |
2002 |
12.36% |
| 1983 |
23.75% |
1993 |
10.37% |
2003 |
8.69% |
| 1984 |
8.74% |
1994 |
-0.65% |
2004 |
3.30% |
| 1985 |
25.50% |
1995 |
13.64% |
2005 |
1.71% |
| 1986 |
3.82% |
1996 |
9.12% |
2006 |
3.54% |
| 1987 |
57.27% |
1997 |
10.89% |
2007 |
7.64% |
| 1988 |
21.76% |
1998 |
7.01% |
2008 |
6.68%† |
| 1989 |
1.80% |
1999 |
-1.19% |
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†Estimated YTD performance for 2008 calculated
with reported data as of May-13-2008 08:20 US CST |
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At a Glance from Jan 1980
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| Compound Annual Return |
13.58% |
| Sharpe Ratio |
0.44 |
| Worst Drawdown |
15.66% |
| Correlation vs S&P 500 |
0.00 |
| Correlation vs US Bonds |
0.05 |
| Correlation vs World Bonds |
0.16 |
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