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Alternative Market Briefing

CTA survey results on investment methodology, fees and traded markets

Tuesday, July 11, 2017

Matthias Knab, Opalesque:

London based J8 Capital Management conducted a global survey to fund out how CTAs work and generate returns. The survey was supported by Opalesque.

The 2017 CTA survey by far and large confirmed the findings of the 2014 and 2015 CTA survey (total of 110 responses), with view nuances:

Consistency of findings: There is no change to J8's previous finding that one can explain the majority of complex return generation of the CTA and managed futures industry with a simple index model or investment methodology (12M momentum on SP, CL, EUR, GC, HG, and TY in a risk weighted portfolio with 7% target volatility and 2/20 fee structure with 90d US T-Bills as risk free non-margin cash compounding rate). The J8 CTA Index holds as explanatory model and investible benchmark for the CTA and managed futures industry.

Fee pressure: While 1.5% to 2% p.a. management fee remain the most popular, the 2017 survey detects a gradual shift into the 1%-1.5% or lower bracket. The high watermark performance fee remains stable in the 16% to 20% area.

Markets: While the perceived popularity of markets is in general little changed, the 2017 shows that in particular Crude Oil, Wheat, Corn, Coffee and VIX have dropped out of favour while DAX, Nikkei 225, FTSE 100, and GBP gained popularity.

Presentation and data of the CTA survey can be accessed here:......................

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