Thu, Apr 26, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
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:......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - Sequoia takes Facebook stake as shares slide in data controversy, $1.4b hedge fund sees intact fundamentals for Facebook, Jim Cramer reveals some 'suggested hedge fund trades' amid the Trump tariffs[more]

    Sequoia takes Facebook stake as shares slide in data controversy From Bloomberg.com: The $4.2 billion Sequoia Fund bought a small position in Facebook Inc. as the stock slid late in the first quarter, investment manager Ruane, Cunniff & Goldfarb told clients. "The recent controversy enab

  2. Activist Investors - Blue Sky-owned Wild Breads faces uncertain future[more]

    From AFR.com: A Blue Sky private equity investment in artisan-style baker Wild Breads enjoyed multiple valuation upgrades despite losing millions and breaching its lending covenants, accounts lodged with the regulator last week show. Wild Breads lost $2.4 million in 2017, but Blue Sky ascribed a hig

  3. Opalesque Exclusive: Barnegat to close hedge fund to outside investors on weak opportunities[more]

    Komfie Manalo, Opalesque Asia: Bob Treue's Barnegat Fund Management said it is closing its $666m fixed income relative value hedge fund to outside investors. "The negative side to gains in Fixed Income Arbitrage is that unless we find new opportunit

  4. Investing - Hedge fund makes a big bet on malls, British hedge fund manager Odey short UK government bonds on QE bet[more]

    Hedge fund makes a big bet on malls From Barrons.com: The dominant narrative on American shopping malls is that they're dead. Crushed by Amazon.com, many brick-and-mortar retail stores are destined for bankruptcy. And where is the most retail, clustered all together? Malls. From a

  5. Performance - Hedge funds suffer first back-to-back loss in two years, Netflix performance burns hedge fund short sellers, Macro hedge fund up 14.5% in first quarter sees dollar falling, Renaissance Technologies rebounds across hedge funds in March[more]

    Hedge funds suffer first back-to-back loss in two years From Bloomberg.com: Hedge Fund returns sank for a second straight month in March, the first back-to-back loss since the first two months of 2016, as trade wars, tech-sector woes and a Fed rate hike dragged down the S&P 500 from its