I have several questions on Otto van Hemert paper "The MOM-TOM effect: Detecting the market impact of CTA trading" (link). In section 3 he proposes a replication strategy for the Newedge Trend Index and the Newedge CTA Index. He uses 52 liquid futures (5 currencies, 20 commodities, 17 equity indices, 10 fixed income).

The question is how to determine these futures specifically?

Also, he uses sample period from 2000 to 2014, but futures has an expiration date. So how to bind futures with different expiration dates?


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