Historically speaking, the CTA industry has been dominated by managers utilizing "Trend Trading" techniques, although more and more firms these days have morphed into multiple-strategy firms.
It is very easy to measure Alpha
(or the excess return of an investment relative to a benchmark) in the stock market, because the S&P 500 is such a widely-accepted barometer. By contrast, computing Alpha in the Alternative Assets (or CTA) space is a much more difficult endeavor because there is not a single widely-acceptable barometer of returns. Of the indices which are available, they may be slow to report, carry potentially misleading risks such as: survivorship bias, selection bias, backfill bias, and may be about as transparent as mud.
We created this Index not only to help educate people on basic Trend Trading principles through repeated examples, but to make a more useful and timely index useful in comparing manager or strategy performance to that of a classic and pure trend trading philosophy.