- CISDM CTA,
- CSFB-Tremont CTA,
- S&P Managed Futures Index,
- Barclay CTA, and
- Hedgefund.Net’s Tuna CTA index.
This universal index is considered by many as a comprehensive and complete collection of CTA indexes. The main idea and unique feature behind this index is its weighting method.
By using principal component analysis, Amenc and Martellini (2002) obtain weights selected for each of the above CTA indexes and make sure that no other linear combination of other CTA indexes leads to a lower information loss, while minimizing the extent to which each index’s bias affects the EDHEC CTA Global Index.
|EDHEC CTA Global Index|