Tracking the Managed Futures Industry: The ITR P-40

The ITR Premier 40 CTA Index (ITR P-40) tracks the performance of the 40 leading managed futures programs as reported to our research affiliate International Traders Research (ITR) each month. ITR is an affiliate of Altegris Investments, Inc. The Index, which has been active since January 1990, has been quoted in such publications as The Wall Street Journal, Chicago Tribune, Alternative Investment Management Association, and Financial Times, among others.

Download Historical Returns for the ITR P-40 CTA Index [Requires Basic Membership]

How is the Premier 40 CTA Index Calculated?

Each month we rank our proprietary database of over 350 Commodity Trading Advisor (CTA) programs to find the top 40 composite CTA programs based on ending monthly equity for the previous month. We then calculate the dollar-weighted average performance of those 40 CTA programs for the monthly ITR P-40 Index performance. There are no limits as to the number of composite programs that individual CTAs may have in the P-40 Index in any given month.

Why Does it Start in 1990?

After extensive research utilizing over 30 years of CTA track records, we concluded the most accurate and comprehensive CTA collection began in 1990. Our research affiliate International Traders Research has concluded that the data gathered prior to January 1990 lacks the high level of integrity and accountability needed to generate an accurate CTA Index.

What about Data Biases?

A common problem for indexes of CTA performance is Survivorship Bias, where the removal of CTA programs that have ceased trading or ceased reporting will skew index returns to the upside. This is because it is reasonable to expect that most of the CTA programs no longer trading or reporting were unsuccessful. The CTA programs that remain are biased towards long-term success and are therefore likely to create an "unrealistic" representation of industry performance. To counter this, ITR has done extensive research to make sure that they have included every CTA program that qualified as one of the top 40 for each month during the life of the index, regardless of whether that CTA program eventually survived through to the current ranking.

Another common problem is self-selection bias, where only CTAs that have good performance and want to build a business will actually publish their track records. There is also a tendency for the early years of a CTA program's track record to outperform the long-run ROR because the CTA is typically managing fewer assets at the outset. By including only the top 40 CTA programs ranked by assets under management, the ITR Premier 40 builds in a "natural selection" process. A CTA program is included only from the time that it actually qualifies as one of the top 40, not from the inception of its record.

Why Only 40 Programs?

Although the ITR Premier 40 tracks less than 5% of the CTAs who report their performance, their combined equity represents approximately 40% of the equity of the entire managed futures industry.* This is because most managed futures investors focus their investments in the industry's leading CTA programs. This is a similar concept to the use of the Dow Jones Industrial Index of 30 stocks as a focus for investors in equities. The result is that the ITR Premier 40 is representative of what most investors in CTA programs since January 1990 have experienced.

Are There Any Other Limitations?

The P-40 CTA Index 40 only includes CTAs tracked by International Traders Research. There may be other CTA programs not tracked by ITR that outperformed or under performed those CTAs included in the ITR Premier 40 that, if tracked, would affect the performance of the index. When reviewing the information, you should be aware that some of the programs:

Are only available to (a) non-US persons, (b) persons who meet the financial requirements for Qualified Eligible Persons as describe in CFTC Regulation 4.7;
Reflect proprietary trading results and may not accurately reflect the performance a client could expect because of differences in fees and costs, leverage and trading and may not have tested with customer funds;
Are closed to new investments.

The ITR Premier 40 does not include rates of return for any single fund or pool that is not incorporated into a composite track record.

*Based on a comparison of total equity of all CTA programs in the ITR P-40 to the commonly used total assets in Managed Futures as of August 1, 2007.

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ITR P-40 Annual Performance 01/90 - 08/08
Year or YTD	Return
2008	3.05 %
2007	7.18 %
2006	6.70 %
2005	4.51 %
2004	2.57 %
2003	15.99 %
2002	15.22 %
2001	5.39 %
2000	10.63 %
1999	0.87 %
1998	12.61 %
1997	10.22 %
1996	16.04 %
1995	13.16 %
1994	-5.46 %
1993	14.66 %
1992	0.89 %
1991	15.12 %
1990	37.15 %
1989	0.00 %

Past results are not necessarily indicative of future results. Futures trading is speculative and involves risk of substantial loss. Estimates appear in italics.

An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented.

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Toll Free: 800-828-5225 | Phone: 858-459-7040 | Fax: 858-456-9209 | cta@altegris.com

There are substantial risks and conflicts of interests associated with managed futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent upon a CTA’s ability to identify profitable investment opportunities and to successfully trade. The identification of attractive trading opportunities is difficult, requires skill, and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage that is often obtainable in commodity trading can work against you as well as for you. The use of leverage can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Altegris, a FINRA and NFA member, offers various alternative investments, including hedge funds, futures funds and managed futures and commodities accounts, that may operate in commodities markets and foreign markets, among others. Altegris and/or its officers/partners may have a financial interest in such alternative investments. In working with clients, Altegris acts in its capacity as an SEC-registered Broker-Dealer and/or as a CFTC-registered Introducing Broker. Although Altegris may give advice that is incidental to its brokerage services, it is not an Investment Adviser. When acting as an Introducing Broker for individually managed accounts, Altegris receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. CTAs may also pay Altegris a portion of the fees they receive from accounts introduced to them by Altegris. When acting as a Broker-Dealer, Altegris enters into selling agreements with hedge funds and futures funds that it offers (including funds sponsored by affiliates), pursuant to which Altegris, with respect to the interests it sells, is paid a portion of the management and/or performance fees charged by the funds or their managers in respect of those interests. This enables Altegris to offer hedge funds, futures funds and individually managed accounts without charging fees above those charged by the CTAs, funds or managers.