CTA/Managed Futures Strategy Benchmarks: Performance and Review
University of Massachusetts at Amherst - Isenberg School of Management
University of Massachusetts at Amherst - Department of Finance & Operations Management
affiliation not provided to SSRN
Handbook of Commodity Investing, Forthcoming
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, G12Accepted Paper Series
Date posted: May 25, 2007
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