The CTA option: diversity and the predictability of a systematic approach

Fri Mar 26, 2010



If the choice of well-diversified discretionary commodity funds is vanishingly limited, and if specialist funds are regarded as offering too much concentration of risk, an alternative option for investors in search of commodity exposure is via commodity trading advisors (CTAs). That might sound obvious enough, given their name. But the 'commodity' in the acronym is a quirk of history arising from the requirement of these managers to be registered with the US Commodity Futures Trading Commission (CFTC). Today, CTAs can have exposure to commodities ranging from 0% to 100%, although the majority of well-diversified strategies will generally hold anything from 30% to 70% of their assets in commodities.

In recent years, however, several CTAs that offered exposure to commodities through diversified funds have responded to shifting investor demand by adding specialised commodity products to their broader repertoire. One example of a manager that has done so successfully is Quality Capital...

ISSN: 2151-1845 / CDC10004H

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