The Barclay UCITS CTA Index is a measure of the average return of all UCITS compliant CTA programs in the Barclay database. The index is simply the arithmetic average of the net returns of all the programs that have reported that month.
The Barclay UCITS CTA Index is recalculated and updated real-time on this page as soon as the monthly returns for the underlying programs are recorded. Only programs that provide us with net returns are included in the index calculation. The number of programs that are currently included in the calculations for the most recent months can be found in the footnotes above. Please note that the calculation for the number of programs is time-stamped and that the number of programs will continue to increase until all programs have reported monthly returns.