Abstract
In 2014 and 2015, we surveyed investors and managers and asked the question, “Commodity trading advisors (CTAs)—How do they do it?” The survey responses allow us to explain the complexity of the CTA and managed futures industry with a simple, survey-led index model of trading global liquid markets with momentum indicators in a risk-weighted basket, managed to a target volatility and charging 2/20. This article first presents the survey results and the index construction. It then discusses how well the index represents the CTA industry. Finally, it discusses the benefits and application of the J8 CTA Index.
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