January 1990 - March 2012. There is no guarantee that any investment product will achieve its objectives, generate profits or avoid losses. The total return of an investment is only one measure of performance. Performance should never be the sole consideration when making an investment decision. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. The referenced indices are shown for general market comparisons and are not meant to represent any particular Fund. 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. INDICES: US Stocks: S&P 500 Total Return Index; Altegris 40 Index® (started July 2000; data available back to 1990). Bull markets: 01/90-08/00, 10/02-09/07; tech wreck: 09/00-09/02; credit crisis: 10/07-02/09; recovery: 03/09-present. Source: Altegris.
How is the Altegris 40 Index constructed?
Each month Altegris ranks our proprietary database of over 500 Commodity Trading Advisor (CTA) programs to find the top 40 composite CTA programs based on ending monthly equity for the previous month. Altegris then calculates the dollar-weighted average performance of those 40 CTA programs for the monthly Altegris 40 Index performance. There are no limits as to the number of composite programs that individual CTAs may have in the Altegris 40 Index in any given month.
The Altegris 40 Index is constructed based on current performance information obtained by Altegris for Index constituents. Altegris will evaluate and make any potential edits to the Index only at the time that new or different information about Index constituents becomes available. Index revisions arising from revisions to the historical track record of an existing Index constituent will typically be limited to the current calendar year, or a maximum of 6 months of Index data.
What about data biases?
A common problem for indices of CTA performance is survivorship bias, where CTA programs have ceased trading or ceased reporting. Failure to include the historical performance of these defunct programs may skew index performance to the upside as 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, Altegris Analytics has done extensive research to include CTA programs that qualify 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 favorable returns and/or have business interest (such as desired asset growth) in publishing their performance will do so. There is also a tendency for the early years of a CTA program's track record to outperform its long term return as it is typically managing fewer assets at the outset. By including only the top 40 CTA programs ranked by assets under management, the Altegris 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 Altegris 40 Index tracks less than 5% of the CTAs who report their performance, their combined equity represents a significant portion of total equity in the managed futures industry. This occurs since most managed futures investors typically 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 Altegris 40 Index is representative of what most investors in CTA programs since January 1990 historically would have experienced.
Are there any other limitations?
The Altegris 40 Index only includes CTAs tracked by Altegris Analytics. There may be other CTA programs not tracked by Altegris Analytics that outperformed or under performed, which 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 Altegris 40 Index does not include rates of return for any single fund or pool that is not incorporated into a composite track record.
Altegris 40 Index vs. US Stocks Annual Performance
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. There is no guarantee that any investment product will achieve its objectives, generate profits or avoid losses. The referenced indices are shown for general market comparisons and are not mean to represent any particular Fund. 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. INDICES: US Stocks: S&P 500 Total Return Index; Altegris 40 Index (started July 2000; data available back to 1990). Source: Altegris.