Best way to setup an inter-index arbitrage fund

Hi, I am looking to setup an inter-index arbitrage fund mainly on index futures. So I am looking for suggestions as to how to setup this up in terms on legal entities and jurisdictions like the Cayman and the US. Also I was looking for suggestions on what be the best like Master-Feeder or Exempt or standalone fund. Looking to get investments from Both US and Non-US investors, mostly from the HK.

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