PT  - JOURNAL ARTICLE
AU  - Hui Yu Chen
AU  - Tillmann Sachs
AU  - Robert Lee Kong Tiong
TI  - Common Denominators in the Commodity Trading Advisor and Managed Futures Industry: <em>A Survey Report</em>
AID  - 10.3905/jii.2014.5.3.046
DP  - 2014 Nov 30
TA  - The Journal of Index Investing
PG  - 46--58
VI  - 5
IP  - 3
4099  - https://pm-research.com/content/5/3/46.short
4100  - https://pm-research.com/content/5/3/46.full
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