Sun, May 29, 2022
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. Opalesque Exclusive: Long/short equity hedge fund with bear market experience has a winning quarter[more]

    B. G., Opalesque Geneva: Experience during a Russian bear market lasting five years enabled Christian Putz to identify certain investment patterns in the market which he now applies to his current investment strategy. London-based ARR Inv

  2. Schroders acquires European renewable infrastructure manager Greencoat Capital[more]

    Laxman Pai, Opalesque Asia: British multinational asset management company Schroders has completed the acquisition of a 75% shareholding in Greencoat Capital, one of Europe's largest investment managers dedicated to the high-growth renewable infrastructure market. The remaining 25% is owned by Gr

  3. Opalesque Exclusive: Global equity manager focuses on symbiotic value chains[more]

    B. G., Opalesque Geneva: A global equity manager has made a point of focusing on the phenomenon of shrinking supply chains and avoiding zero-sum business models. London-based Tollymore Investment Partners is a private partnersh

  4. Satori Capital intros energy transition fund, a long/short equity strategy[more]

    Laxman Pai, Opalesque Asia: Dallas-based alternatives manager founded on the principles of conscious capitalism, Satori Capital has launched Satori Environmental, a long/short equity strategy that primarily invests in securities impacted by the global energy sector's shift from fossil-based s

  5. The Big Picture: With the war, E, S, and G have collectively moved back to the fore[more]

    B. G., Opalesque Geneva: In this interview, Dr. Patrick Welton, founder and CIO of Welton Investment Partners, offers his observations on the major macro themes expected to affect the comm