Abstract

http://ssrn.com/abstract=989011
 
 

Citations



 


 



CTA/Managed Futures Strategy Benchmarks: Performance and Review


Thomas Schneeweis


University of Massachusetts at Amherst - Isenberg School of Management

Raj Gupta


University of Massachusetts at Amherst - Department of Finance & Operations Management

Jason Remillard


affiliation not provided to SSRN


Handbook of Commodity Investing, Forthcoming

Abstract:     
In this paper we provide: 1) a brief synopsis of the benefits of managed futures investment; 2) a short review of manager based CTA benchmark construction; and 3) an empirical analysis on the relative performance of various CTA benchmarks (non-investible manager based indices, investible manager based indices, and passive security based indices). In this analysis the various CTA indices are also compared on a zero risk (e.g., Treasury Bill), total risk (Sharpe Ratio), market factor risk (e.g., S&P 500) and strategy risk (e.g., passive futures based CTA index) and peer group basis (investible and noninvestible manager based indices). Lastly, for a selected set of CTAs with full data over the period of analysis an example of the use of various CTA benchmarks in determining excess peer group return, and zero risk, total risk, market risk or strategy (futures based) risk excess return is provided.

Keywords: Managed Futures, Performance Benchmarks, CTAs, Passive Indexing

JEL Classification: G11, G12

Accepted Paper Series


Not Available For Download

Date posted: May 25, 2007  

Suggested Citation

Schneeweis, Thomas and Gupta, Raj and Remillard, Jason, CTA/Managed Futures Strategy Benchmarks: Performance and Review. Available at SSRN: http://ssrn.com/abstract=989011

Contact Information

Thomas Schneeweis
University of Massachusetts at Amherst - Isenberg School of Management ( email )
Amherst, MA 01003-4910
United States
413-545-5641 (Phone)
413-545-3858 (Fax)
Raj Gupta (Contact Author)
University of Massachusetts at Amherst - Department of Finance & Operations Management ( email )
Amherst, MA 01003
United States
413-230-3571 (Phone)
Jason Remillard
affiliation not provided to SSRN ( email )
No Address Available
Feedback to SSRN


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