CTAs “Positively Skewed” Performance Helps Reduce Tail Risk In A Diversified Hedge Fund Portfolio March 31, 2020
March 2020 - Managed Futures
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Commodity Trading Advisors (CTAs) are one of only a few hedge fund strategies that performed well throughout the market selloffs of 2000-2002, 2008 and 1st Q of 2020. Yet, investors' perception of the strategy is more divergent than any other major hedge fund strategy. Many investors view the strategy as “smoke and mirrors” using black box models that they cannot understand or properly evaluate. Other investors view CTAs as one of the purest hedge fund strategies that has very low correlation to long only equity, fixed income and other hedge fund strategies, thus providing valuable diversification benefits. Advocates of CTAs have helped propel the strategy to approximately 10% market share of the hedge fund industry with $318 billion in assets as of 1/1/2020 report by BarclayHedge. The strategy also boasts many of the largest hedge funds in the world.
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