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Practical Applications

Practical Applications

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Practical Applications of CTAs: Superior Performance or Diversification Only?

Martin Florea, Stefan Florea, Iliya Kutsarov, Thomas Maier and Marcus Storr
Practical Applications 6 (2) DOI: https://doi.org/10.3905/pa.6.2.292
Martin Florea
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Iliya Kutsarov
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Thomas Maier
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Practical Applications Summary

CTAs: Superior Performance or Diversification Only?, published in the Spring 2018 issue of The Journal of Wealth Management, demonstrates the advantages of including managed futures in investment portfolios. Although risk-adjusted returns are shown to be somewhat weak relative to traditional asset classes, very low correlation makes CTAs a valuable addition from a Modern Portfolio Theory standpoint. The authors, Martin Florea (now at Cevian Capital), Stefan Florea (now at Morgan Stanley), Iliya Kutsarov, Thomas Maier, and Marcus Storr (FERI Trust) also demonstrate that these diversification benefits do not necessarily require (actively managed, expensive) CTAs but may be delivered by (cheaper) alternative betas.

TOPICS: Commodities, futures and forward contracts, performance measurement

  • The content is made available for your general information and use and is not intended for trading or other specific investment advice purposes or to address your particular requirements. We do not represent or endorse the accuracy or reliability of any advice, opinion, statement, or other information provided any user of this publication. Reliance upon any opinion, advice, statement, or other information shall also be at your own risk. Independent advice should be obtained before making any such decision. Any arrangements made between you and any third party named in this publication are at your sole risk.
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Practical Applications: 6 (2)
Practical Applications
Vol. 6, Issue 2
31 Oct 2018
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Practical Applications of CTAs: Superior Performance or Diversification Only?
Martin Florea, Stefan Florea, Iliya Kutsarov, Thomas Maier, Marcus Storr
Practical Applications Oct 2018, 6 (2) DOI: 10.3905/pa.6.2.292

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Practical Applications of CTAs: Superior Performance or Diversification Only?
Martin Florea, Stefan Florea, Iliya Kutsarov, Thomas Maier, Marcus Storr
Practical Applications Oct 2018, 6 (2) DOI: 10.3905/pa.6.2.292
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