Commodity Trading Advisers, commonly referred as to CTA Global funds or Managed Futures, invest in listed financial and commodity markets as well as in currency markets all over the world.
Most of CTA Global funds play on market momentum (i.e. trend followers) or follow discretionary strategies. The others either use quantitative, fundamental or technical analysis. The great majority of these funds are specialized “boutiques” relying on proprietary trading techniques.
Most of CTA Global funds use leverage either explicitly or implicitly (through the use of derivatives) to increase the impact of market moves on their portfolios.
CTA Global funds’ performances tend to offer a relatively good protection against market downturns. As a consequence, CTA Global funds may be used as “Risk Reducers” in portfolios.
|Risk Profile||Edhec CTA Global Index||S&P 500||Lehman Treasury|
|Monthly Std Dev Ann'd||7.98%||14.28%||4.43%|
|Min. Monthly Return||-5.68%||-16.80%||-4.39%|
|Max. Monthly Return||6.55%||10.93%||5.31%|
|Mean Monthly Return||0.34%||0.59%||0.33%|
|Median Monthly Return||0.11%||1.07%||0.36%|
|% of winning Months||53.27%||65.89%||58.41%|
|Average Winning Return||2.07%||2.86%||1.13%|
|% of losing Months||46.73%||34.11%||41.59%|
|Average Losing Return||-1.63%||-3.80%||-0.80%|
|Correlation Analysis||Edhec CTA Global Index||S&P 500||Lehman Treasury|
|S&P 500 Value||-0.06||0.97||-0.34|
|S&P 500 Growth||-0.05||0.97||-0.32|
|S&P Mid Cap||-0.03||0.92||-0.33|
|S&P Small Cap||-0.06||0.87||-0.34|
|Chg in Baa - Aaa||0.01||-0.12||0.17|
|10 years - 3 Months||0.03||-0.05||0.12|
|Chg in 10 years - 3 Months||-0.06||-0.03||-0.05|
|Chg in VIX||-0.07||-0.67||0.19|
|in %||CSFB||HF Net||Barclay||CISDM||S&P|
|Hedge Fund Strategies : October 2018|
|Equity Market Neutral||-1.29%|
|Fixed Income Arbitrage||-0.23%|
|Funds of Funds||-2.69%|
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