CTA/Managed Futures Strategy Benchmarks: Performance and Review

Handbook of Commodity Investing, Forthcoming

Posted: 25 May 2007  

Thomas Schneeweis

University of Massachusetts Amherst - Isenberg School of Management

Raj Gupta

University of Massachusetts Amherst - Department of Finance

Jason Remillard

affiliation not provided to SSRN

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

Suggested Citation

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

Thomas Schneeweis

University of Massachusetts 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 Amherst - Department of Finance ( email )

Amherst, MA 01003
United States
413-230-3571 (Phone)

Jason Remillard

affiliation not provided to SSRN ( email )

No Address Available

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