A liquid and investible Benchmark Index for the Commodity Trading Advisor and Managed Futures industry

Sachs, T., Tiong R., Journal of Index Investing, Institutional Investor Journals, Spring 2016, Vol. 6, No. 4, 99. 30-70.

Abstract
​​In 2014 and 2015 we surveyed investors and managers and asked “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: by trading global liquid markets with momentum indicators in a risk weighted basket, managed to a target volatility and charging 2/20 for it. The index is liquid, investible, and replicable. It may serve as benchmark for the CTA industry as it is representative of the most common methodologies used by the industry. The parameters were confirmed independently by testing their robustness with a sensitivity analysis.
This paper 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 (J8 CTAI).