Abstract

http://ssrn.com/abstract=2266400
 


 



CTAs - How Managed Futures Manage the Future


Fabian Dori


1741 Asset Management; University of St. Gallen

Manuel Krieger


Independent

Urs Schubiger


1741 Asset Management

May 2013


Abstract:     
In recent years, the CTA industry has experienced significant growth in assets under management. This impressive growth has two main drivers: first, renowned CTA benchmarks show that CTA strategies can generate an attractive, risk-adjusted return in the long term; and second, CTAs have proven to be highly attractive thanks to their outstanding diversification characteristics. This paper examines these characteristics and provides possible foundations thereof. It is shown that their low and asymmetric correlations to traditional asset classes - and also particularly in relative comparison to other hedge fund strategies - make them suitable for diversifying a broad range of portfolios. The key to the success of CTAs lies in their broad investment universe and their ability to symmetrically take long and short positions in liquid futures markets. While the long side of a CTA strives to profit continually from long-term positive risk premiums, the short side acts more as a type of insurance than a source of systematic returns. As a consequence, CTAs have the potential to generate positive returns during extreme market movements, and thus provide substantial diversification benefits to an investor's portfolio.

Number of Pages in PDF File: 6

Keywords: CTA, Momentum, Trend-following, Managed Futures, Hedge Funds

JEL Classification: G1

working papers series


Download This Paper

Date posted: May 18, 2013  

Suggested Citation

Dori, Fabian and Krieger, Manuel and Schubiger, Urs, CTAs - How Managed Futures Manage the Future (May 2013). Available at SSRN: http://ssrn.com/abstract=2266400 or http://dx.doi.org/10.2139/ssrn.2266400

Contact Information

Fabian Dori (Contact Author)
1741 Asset Management ( email )
Bahnhofstrasse 8
St. Gallen, 9001
Switzerland
+41442184132 (Phone)
University of Saint Gallen
Switzerland
Manuel Krieger
Independent ( email )
No Address Available
Urs Schubiger
1741 Asset Management ( email )
Bahnhofstrasse 8
St. Gallen, 9001
Switzerland
Feedback to SSRN


Paper statistics
Abstract Views: 1,052
Downloads: 239
Download Rank: 72,100

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.578 seconds