Collecting asset data is your first step in building a robust Risk Parity CTA strategy. Why is this crucial? Without accurate and comprehensive data, all subsequent analysis could lead you astray. Your aim? Capture the latest price, volume, and other relevant data points for the assets in your portfolio. Equip yourself with the right databases and software tools to ensure precision and efficiency. Challenges? Navigating vast datasets and ensuring data reliability. Have a backup source if your primary database is inaccessible.