Beyond Labels: The RQT Index, a Bank QIS Composite for Trend Exposure

Trend following has long been part of the allocator’s toolkit. Its appeal lies in its asymmetry: modest losses in sideways markets offset by strong gains when trends persist. Yet many widely used benchmarks—typically CTA peer groups or fund aggregates—fail to capture the payoff characteristics allocators actually seek.

The Resonanz Quantitative Trend Index (RQT Index) was designed to close this gap. It offers a transparent, investable benchmark aligned with the return profile investors expect from a trend-following allocation.

From Labels to Payoffs

Most benchmarks for trend following are defined by categories or peer groups. They describe who is in the sample, not what payoff investors should expect. As a result, allocators struggle to judge whether their trend allocation is truly delivering the intended risk–return profile.

The RQT Index takes a different path. Built entirely from bank-issued QIS (Quantitative Investment Strategies) trend-following indices, it is a rules-based composite of published, investable indices—rather than a collection of CTAs or loosely grouped trading styles.

At its core, RQT emphasizes convexity. The selection process favors components with positive realized skewness—the asymmetric pattern of small, frequent losses offset by larger gains in trending markets. Convexity is not incidental; it is a defining design principle of the benchmark itself.

Why It Matters

Rolling 1-year return (daily, RQT Index)

Since its inception in 2016, the RQT Index has advanced in stepwise up-legs while keeping drawdowns contained. The rolling return chart above shows that strong performance coincided with macro-trend windows such 2020–21 and 2022, while range-bound phases like 2018–19 and 2023–24 were marked by modest setbacks and relatively swift recoveries. This pattern illustrates the profile allocators expect from trend following: participation in extended moves with protection during chop.

Beyond its return path, RQT combines features that matter for allocators:

• Benchmark functionality. An investable, transparent reference point for trend following. Allocators can use it to calibrate expectations, measure active managers, or anchor portfolio policy benchmarks.
• Cost & efficiency. QIS indices avoid the hedge fund fee stack. Exposure via swaps or structured notes allows investors to capture premia at lower cost, improving net returns.
• Capital efficiency & liquidity. Delivered via total return swaps, RQT can be implemented as a portfolio overlay. Daily mark-to-market pricing and straightforward trading reduce operational frictions compared with commingled fund structures.
• Accessibility. Because RQT is delivered in bank QIS format—via swaps, notes, or fund wrappers—it is accessible to a broader set of investors than CTA funds or managed accounts.

These attributes position RQT not only as a performance measure but also as a practical building block within institutional portfolios.

Performance in Context

To ground the discussion, it is useful to compare RQT with widely followed CTA benchmarks - SG Trend and HFRI Macro Systematic Diversified.

Cumulative return (monthly, RQT, HFRI Macro Systematic Diversified, SG Trend Index)

On a monthly basis, RQT has outpaced both HFRI Macro Systematic Diversified and the SG Trend Index between 2016 and 2025. Correlations are high—0.8 (RQT–SG Trend) and 0.75 (RQT–HFRI Macro Systematic Diversified) —highlighting that all three are exposed to similar broad trend regimes. The distinction is in the path: RQT has delivered higher absolute returns and faster recoveries, particularly during the 2020–21 pandemic and the inflation-driven trends of 2022. In quieter stretches like 2018–19 and 2023–24, performance was muted across all indices, but RQT contained drawdowns more effectively.

Summary statistics (Feb 2016 – mid 2025, monthly returns)

Taken together, these statistics highlight RQT’s stronger risk-adjusted returns, higher positive skew, and smaller drawdowns relative to traditional CTA composites. They confirm its ability to capture upside in trending markets while cushioning investors in more difficult phases. Past performance is not indicative of future results.

While the relative performance and distributional properties highlight the appeal of RQT, its robustness also depends on how it is built and how it is investable. The following sections explains the design choices and shows how they translate into breadth and diversification over time.

Investability

A key strength of RQT is that it can be accessed in formats that suit different investor needs—without imposing unnecessary frictions:

Capital Efficiency. Because RQT is implemented via total return swaps, it can be added as a portfolio overlay. Allocators can introduce convex trend-following exposure without displacing existing investments.

Flexible Formats. Beyond swaps, RQT can be delivered as a note or integrated into fund structures, depending on investor requirements. This makes it versatile across wealth, institutional, and multi-asset contexts.

Together, these features make RQT practical to implement and adaptable across investor types.

Use Cases

Allocators can deploy RQT in several ways, depending on objectives and constraints:

• Policy benchmark. Provides a transparent, investable yardstick for trend-following exposure. CIOs and investment committees can anchor guidelines and calibrate expectations against systematic, accessible outcomes.
• Core–satellite. Hold RQT as a low-cost systematic core while complementing with discretionary CTAs for idiosyncratic alpha or differentiated styles.
• Portfolio overlay. Implement via swaps on top of balanced portfolios without selling assets. This is particularly attractive for pensions, family offices, and wealth managers with illiquid exposures, as it introduces convex return potential without disrupting existing structures.

Strategy Design

The RQT Index is built on a disciplined, rules-based framework designed to align with allocator expectations. Unlike backfilled composites or discretionary blends, it draws exclusively on live QIS indices, ensuring outcomes were practically accessible in real time.

• Eligibility & filtering. Only indices with a demonstrated tendency toward positively asymmetric outcomesare considered. Strategies with persistent negative carry are excluded.
• Weighting & rebalancing. Weights refresh monthly using robust variance–covariance estimation and Hierarchical Risk Parity (HRP). This clusters correlated strategies, limits concentration, and distributes risk more evenly.
• Diversification. Eligible indices span liquid futures across equities, rates, FX, and commodities—capturing multiple sleeves of global macro trends while avoiding concentration.
• Transparency. All inclusion and weighting decisions follow explicit, published rules, reducing the perception of a “black box.”

Outcomes

RQT is constructed using trend strategies from 12 different providers. Because inclusion in the index depends on the risk–return characteristics of a strategy rather than its label, not all live strategies at a given point in time are incorporated. While this results in a lower participation rate per strategy, it has no impact on the number of providers represented in RQT. From 2016 to 2019, the index comprised 11 different providers, and from 2019 onward all 12 providers have been represented.

Percentage of selected strategies versus all live momentum strategies

Participation broadened in 2020–22, led by Rates and Multi-Asset, with Commodities also elevated. From mid-2023 onward, counts normalized but remained diversified: Rates continued as the largest contributor, Commodities stayed high, FX stabilized, while Equities and Credit played more selective roles. Into 2024–25, the composition looks balanced rather than concentrated, supporting more stable outcomes in varied market conditions.

Number of selected strategies by asset class

The inclusion share rose steadily through the late 2010s, peaked around 2020–22 when macro trends were broad, and plateaued through 2023–24 with a mild fade into 2025. Levels remain well above the pre-2019 period, suggesting a healthier opportunity set despite shorter, choppier bursts more recently.

Conclusion

The Resonanz Quantitative Trend Index (RQT Index) is a convexity-first, index-of-indices built from bank QIS trend strategies. By selecting components with positive realized skewness and delivering access through liquid index formats (swaps, notes, fund wrappers), it turns the desired payoff profile into a transparent, investable benchmark.

For allocators who prefer benchmarks defined by outcomes rather than labels, RQT offers a fresh, implement-ready baseline—daily priced, cost-efficient, and designed to participate in extended moves while containing setbacks in quieter regimes.