RT Journal Article
SR Electronic
T1 Common Denominators in the Commodity Trading Advisor and Managed Futures Industry: <em>A Survey Report</em>
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 46
OP 58
DO 10.3905/jii.2014.5.3.046
VO 5
IS 3
A1 Hui Yu Chen
A1 Tillmann Sachs
A1 Robert Lee Kong Tiong
YR 2014
UL https://pm-research.com/content/5/3/46.abstract
AB 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