Managed futures and alternative allocation use regulatory, account and measurement terms that are easy to confuse. This glossary defines them as Gnosis research uses them. Definitions are general information and do not replace a programme's offering or disclosure documents.
Regulation and market participants
Commodity trading advisor (CTA)
Under the US Commodity Exchange Act, a person who, for compensation or profit, advises others on the value of, or the advisability of trading in, futures contracts, options on futures, swaps and certain related instruments. The designation alone does not describe a strategy or its level of risk. What is a CTA?
Commodity pool operator (CPO)
The operator of a pooled vehicle, or commodity pool, that trades futures and related instruments. Allocators can reach a CTA programme by subscribing to a pool run by a CPO instead of opening a managed account. What is a CTA?
Futures commission merchant (FCM)
The US term for a futures broker that accepts customer orders and the money or other assets supporting them. In a managed account, the FCM holds and administers the investor's account, including its collateral requirements. Understanding CTA managed accounts
Commodity Futures Trading Commission (CFTC)
The US federal regulator of the futures and derivatives markets, created by Congress in 1974. What is a CTA?
National Futures Association (NFA)
The self-regulatory organisation for the US derivatives industry, which began operations in 1982. It carries out registration, membership and much of the examination work for CTAs and CPOs. What is a CTA?
NFA BASIC
The National Futures Association's public database. A search by firm name or NFA ID shows registration categories, membership status, listed principals and any regulatory actions. What is a CTA?
Strategies
Managed futures
Programmes, usually run by CTAs, that trade futures across equity indices, interest rates, currencies, energy, metals and agricultural markets. Managers may take positions that benefit from rising or falling prices and may use systematic rules or discretionary judgement. How large is the managed-futures industry?
Trend following
A trading approach that takes positions in the direction of sustained price moves, usually by systematic rules. It is one approach within managed futures, and some institutional policies list it as a separate allocation line. How institutions size a trend-following allocation
Crisis alpha
An informal term for returns a strategy earns during periods of severe equity-market stress. Whether a programme has delivered it depends on its construction, markets traded and structure, and past behaviour does not establish future behaviour. The anatomy of crisis alpha
Crisis Risk Offset
An allocation category used by some pension funds, such as SURS, for liquid strategies expected to offset losses in growth assets during significant drawdowns. SURS includes long-duration Treasuries, systematic trend following, alternative risk premia, tail risk and long volatility. How institutions size a trend-following allocation
Emerging manager
A newer or smaller investment manager. Definitions vary by survey, by assets under management and by length of track record, so a figure about emerging managers applies only to the population it describes. Evaluating an emerging hedge-fund manager
Accounts, vehicles and funding
Separately managed account (SMA)
An account held in the investor's name, with defined trading authority granted to the appointed manager. The allocator owns the trading account and its assets rather than units in a fund. Separately managed accounts vs fund investment
Pooled fund
A vehicle in which the allocator subscribes for shares, units or limited partnership interests. The vehicle, not the allocator, owns the underlying assets. Separately managed accounts vs fund investment
Fund of one
A pooled vehicle with a single investor. It combines tailored terms with the limited liability of a fund structure, and the investor bears the cost of establishing and operating the vehicle. Separately managed accounts vs fund investment
Margin
Collateral required to maintain futures positions. Margin is not the maximum possible loss, and the required amount can change. Understanding CTA managed accounts
Nominal account size
The agreed capital amount used to set a programme's trading level. It is a sizing measure, separate from the face value of the futures contracts held. Understanding CTA managed accounts
Notional funds
The difference between nominal account size and actual funds. A USD 1 million nominal account with USD 500,000 of actual funds has USD 500,000 of notional funds. Understanding CTA managed accounts
Performance records
Actual performance
Results of real client accounts or of a fund traded under the programme, net of fees and expenses. How to evaluate a CTA track record
Proforma performance
Actual results restated for a difference in terms, such as the current fee schedule or another leverage level. How to evaluate a CTA track record
Hypothetical performance
Results of applying a model to historical data before it traded client money, or of trades that were never executed. NFA rules require hypothetical results in promotional material to carry a prescribed cautionary statement. How to evaluate a CTA track record
VAMI (Value Added Monthly Index)
The growth of a notional 1,000 investment, calculated by compounding a programme's monthly net returns. It is the standard growth-of-capital chart in managed-futures reporting. How to evaluate a CTA track record
Survivorship and backfill bias
Distortions in peer databases and indices. Survivorship bias arises when programmes that closed drop out of the data; backfill bias arises when a programme's earlier history is added only after it has done well. How to evaluate a CTA track record
Risk and return measures
Maximum drawdown
The largest percentage decline from a running peak in cumulative value to a later low over a stated period. CFTC rules require a registered CTA's disclosure document to state the worst peak-to-valley drawdown of the programme offered. Drawdown and recovery metrics explained
Time to recovery
The number of months from the trough of a drawdown until cumulative value regains the prior peak. A drawdown that has not regained its peak is open, and its current depth and age should be reported. Drawdown and recovery metrics explained
Underwater curve
A chart of the percentage decline from the running peak plotted through time. It is a standard panel in managed-futures reporting. Drawdown and recovery metrics explained
Sharpe ratio
Excess return divided by volatility. Over short histories the estimate is uncertain: under standard assumptions, a Sharpe ratio of 0.8 measured over three years is statistically indistinguishable from zero. How to evaluate a CTA track record
Calmar ratio
Annualised return divided by maximum drawdown, originally over a trailing 36 months. The result depends on whether the worst drawdown falls inside the measurement window. Drawdown and recovery metrics explained
Sterling ratio
Return divided by an average of annual maximum drawdowns, which reduces dependence on one episode. Definitions vary between data providers. Drawdown and recovery metrics explained
Ulcer index
The root mean square of percentage drawdowns over a period, so it reflects depth and duration together. Developed by Peter Martin in 1987. Drawdown and recovery metrics explained
Fees and alignment terms
High-water mark
A provision under which a performance fee is charged only on gains above the account's or fund's previous peak value. An investor who enters after a loss can therefore pay different effective fees from one who enters at a peak. Emerging-manager fees, alignment terms and vehicles
Hurdle
A minimum return that must be exceeded before a performance fee applies. Emerging-manager fees, alignment terms and vehicles
Clawback
A provision that requires performance fees already paid to be returned under specified conditions, such as later losses. Emerging-manager fees, alignment terms and vehicles
Allocators and governance
Single-family office and multi-family office
A single-family office manages the wealth and affairs of one family; a multi-family office serves several families. Published estimates of their number and assets differ by source and method. How large are family offices?
Investment policy statement (IPS)
A written document that sets an investor's objectives, constraints and eligible investments. In Citi Wealth's 2026/27 survey, 55% of family offices report having one. How family offices govern their investment decisions
Investment committee
A group that reviews and approves investment decisions against the investor's policy. In Citi Wealth's 2026/27 survey, 63% of family offices report having one. How family offices govern their investment decisions
Capital introduction
Introductions of investors to fund managers arranged by a prime broker. Among investors in emerging hedge funds surveyed by AIMA/Marex, its use as a sourcing channel rose from 22% in 2024 to 30% in 2026. How allocators find new managers
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For institutional investors. This glossary provides general information, not investment, tax or legal advice or a recommendation of any manager, strategy or structure. Past performance is not necessarily indicative of future results.