Common denominators in the CTA and managed futures industry - A survey report
Chen, H., Sachs, T., Tiong R. “Common Denominators in the Commodity Trading Advisor and Managed Futures Industry”. Journal of Index Investing, Institutional Investor Journals, Winter 2014, Volume 5, Number 3, pp. 46-58.
Abstract
How do 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 paper 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.