NEW YORK, Aug. 30, 2016 -- The Index Committee approved the following changes to the QTI’s composition and methodology. The changes are designed to improve benchmark tracking characteristics. The changes are expected to take effect on September 1st.
- The weights of the shortest term models, QTI1 and QTI2, decrease by 15% and the weight of the longest term model, QTI4, increases by 20%.
- Equity Indices and Foreign Exchange sector weightings increase by 10% and 5% respectively.
- The Agriculturals sector weighting decreases by 20%. Cocoa and Cotton market weights decrease by 70%. Gold and Silver market weights increase by 30%.
- Within Fixed Income, the weight of the Interest Rates sub-sector decreases by 20% and the weight of Bonds sub-sector increases by 10%.
Average trade length is expected to increase to 36 days. Portfolio volatility is expected to decrease by 5%.
About QTI
QTI is designed to track generally the performance generated by the broad class of managed futures strategies employed by most trend-following CTAs and to match on a risk-adjusted basis the performance of well-known CTA indices. QTI systems generate signals on a daily basis diversified over three models: short, medium and long-term. QTI trades 66 markets across four sectors: Commodities, Equity Indices, Fixed Income and Foreign Currencies. Live trading commenced in August 2011. QTI is calculated by S&P Dow Jones Indices. “S&P Dow Jones Indices” is a service mark of Dow Jones Trademark Holdings LLC.
QTI won the 2015 CTA Intelligence US Performance Award for “Best Investible CTA Index”.
About Quest
Quest is a research driven alternative investment firm headquartered in New York and founded by Nigol Koulajian in 2001. Quest employs a systematic trading process across multiple asset classes in over 80 liquid global markets. Distinct programs are designed to generate alpha, replicate CTA performance and/or hedge specific market risks. Clients include family offices, foundations, fund-of-funds and the some of the world’s largest pension plans. Quest is registered with the CFTC as a CTA and a CPO and is a member of the NFA.
Equinox Funds [email protected]


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