Barclay CTA Index指數介紹

Barclay CTA Index指數介紹_faruto_新浪博客

Barclay CTA Index

The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 532 programs included in the calculation of the Barclay CTA Index for 2016. The Index is equally weighted and rebalanced at the beginning of each year.

To qualify for inclusion in the CTA Index, an advisor must have four years of prior performance history. Additional programs introduced by qualified advisors are not added to the Index until after their second year. These restrictions, which offset the high turnover rates of trading advisors as well as their artificially high short-term performance records, ensure the accuracy and reliability of the Barclay CTA Index.

通過 GetBarclayCTAIndex.m 函數可以基於網路爬蟲獲取Barclay CTA Index指數最新數據以及做相應分析.

Barclay CTA Index近期表現:

Number of CTA programs in index:

推薦閱讀:

在你所處的 Quant 的工作崗位上,你認為最佳的技能搭配是什麼?
wizardquant 是一家怎麼樣的公司?
Quant 的發展經歷了哪些階段?現況如何?未來會怎麼樣?
為什麼anaconda安裝成功之後無法打開Ipython以及spyder?
在國內做 Quant 累嗎?能像正常工作一樣朝九晚五,周末正常休息嗎?

TAG:CTA | 量化 | 宽客Quant |