Are CTAs Mumbo Jumbo or additive for a diversified hedge fund portfolio?

Commodity and Strategic Futures Index Methods: Adjusting to a New World Economy October For Financial Professionals/Not for Public Distribution Analytic services and products by S&P Dow Jones Indices are the result of separate activities designed to preserve the independence and objectivity of each analytic process. S&P Dow Jones Indices has established policies and procedures to maintain.

In addition, gates and suspension of redemptions are highly unusual for those CTAs focusing on the liquid markets. This asset size is big enough to support a substantive research team, but not too large that alpha may be diluted over a growing asset base. To give you the short end of the The Newedge Trend Indicator is a market based performance indicator designed to have a high and stable correlation to the returns of trend following strategies. What people say about us.

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Shoppers jumpers hole road 8. The question remains the same as we posed in the original version of our paper: This paper updates our original work and subsequent versions that were published in September and May and the measurements and ranking methodology that we initially introduced remain the same.

This updated version of our paper includes analysis on 19 of the 20 trend following managers that we initially studied one closed down , plus we include the Newedge CTA Index, the Newedge Trend CTA Index, the Newedge Trend Indicator, and an additional 4 managers.

It is important to note that the Newedge CTA Index represents the equal-weighted performance of the top 20 largest diversified CTAs open for investment, the Newedge Trend CTA Index represents the equal-weighted performance of the top 10 largest trend following CTA open for investment, and the Newedge Trend Indicator is a fully-disclosed, rule-based trend following strategy that offers an interesting and transparent look into the daily performance and positions of a professionally developed, albeit basic, trend model.

Two of the managers we include in our analysis, one that we specifically added to help make an important point, received accolades for their impressive, outsized performance during Therefore, due to the inherent leverage i. This point is repeatedly misunderstood by many in the managed futures industry. A program run with a higher margin to-equity ratio will produce a higher compound rate of growth at the price of higher drawdowns periods of loss.

You must be logged in to post a comment. This website does not describe all the various risks associated with investing in managed futures or foreign currency exchange, a list of which is in our fund offering documents and our completed due diligence questionnaires. We can provide these documents, or the list, to you upon request. Pursuant to an exemption from the Commodities Futures Trading Commission in connection with accounts of qualified eligible persons, this document is not required to be, and has not been, filed with the commission.

The Commodities Futures Trading Commission does not pass upon the merits of participating in a trading program or upon the adequacy or accuracy of commodity futures trading advisor disclosure. Consequently, the Commodities Futures Trading Commission has not reviewed or approved this trading program or any of the information on this website. Nothing contained in this website constitutes investment, legal or tax advice.

Use the above form to search our repository of industry whitepapers for any key words or topics. Sign Up to Receive Future Research. Yes, Sign Me Up. Efficient's Books and Whitepapers. A Survey of the Managed Futures Industry. Major sections include a history of the industry, characteristics of Managed Futures, investment analysis, portfolio construction, explanations of different trading strategies, and structured products in Managed Futures.

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