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Abstract
How do commodity trading advisors (CTAs) generate returns? Which markets do they trade? How do they allocate risk, manage money, and what fees do they charge? We conducted an international survey to establish common denominators in the CTA and managed futures industry. This article presents the results and conclusions from the survey. The survey finds that the CTA and managed futures industry may be generalized in trading popular key global markets in a risk-weighted momentum portfolio managed to a target volatility and applying a 2/20 fee structure.
TOPICS: Commodities, futures and forward contracts, global
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In this issue
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- Article
- Abstract
- Survey Participants
- Traded Markets
- Commodity Markets
- Government Bond Markets
- Interest Rate Markets
- Equity Indexes
- Volatility Markets
- G10 Currency Markets
- Emerging Market Currency Markets
- PORTFOLIO CONSTRUCTION
- RETURN ENGINES
- RISK AND ASSET ALLOCATION
- MONEY MANAGEMENT
- CONCLUSIONS
- APPENDIX A
- APPENDIX B
- ENDNOTE
- REFERENCES
- Info & Metrics
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- PDF (Subscribers Only)