CTAs: Superior Performance or Diversification Only?

摘要

Does past performance of funds managed by commodity trading advisors (CTAs) justify their inclusion in investors' portfolios? According to CTAs: Superior Performance or Diversification Only?, published in the Spring 2018 issue of The Journal of Wealth Management, the answer initially appears to be yes. The article shows that, although the risk-adjusted returns produced by most CTA managers have been somewhat weak relative to traditional asset classes, the very low correlation of such funds makes them a valuable addition to a conventional portfolio.However, authors Martin Florea (now at Cevian Capital), Stefan Florea (now at Morgan Stanley), Iliya Kutsarov, Thomas Maier, and Marcus Storr (all at FERI Trust) go a step further. Through a series of regressions, they demonstrate that these diversification benefits do not necessarily require (actively managed, expensive) CTAs but may be delivered by (cheaper) alternative betas.