40in20out Futures Trend Index

TREND FOLLOWING: LEARN. TRACK. COMPARE. A TRANSPARENT GLOBAL MACRO BENCHMARK

40in20out is an academic project to publish a near-real-time, transparent and unbiased benchmarking index of a simple systematic, diversified trend following futures program.

useful for:

FUND MANAGERS
FAMILY OFFICES
BONA-FIDE HEDGERS
CORPORATE TREASURERS
COMMODITY TRADERS
INSTITUTIONAL INVESTORS
SOPHISTICATED INVESTORS
INVESTMENT ADVISORS

THE GOAL OF THE 40in20out TREND TRADER INDEX IS TO PROVIDE A TIMELY AND
HIGHLY-TRANSPARENT BENCHMARK FOR MARKET PARTICIPANTS.

WHAT IT IS

40in20out is an academic project to publish a near-real-time, transparent and unbiased benchmarking index of a simple systematic, diversified trend following futures program.

We describe the trading logic in full with rules that could fit on the back of an envelope. We monitor trade signals and send alerts as needed including an end-of-day summary.

You get to see all the timestamps, trade activity and open positions for theoretical trades of the index constituents with total transparency.

The unbiased results are then tabulated for use and comparison as you see fit.

WHY ?

Market participants have few ways to compare their alternative investment returns or investments in managed futures on a timely basis.

Most of the freely available current benchmark options are a simple index of reported returns from select managers, many of whom are blending multiple strategies.

These measurements can be slow to report, potentially carry hidden and misleading risks such as: survivorship bias, selection bias, backfill bias, and are about as transparent as mud.


WHAT IT IS NOT

40in20out IS NOT TRADING ADVICE. You should seek the advice of your financial advisors.