PT  - JOURNAL ARTICLE
AU  - Martin Florea
AU  - Stefan Florea
AU  - Iliya Kutsarov
AU  - Thomas Maier
AU  - Marcus Storr
TI  - Practical Applications of CTAs: <em>Superior Performance or Diversification Only?</em>
AID  - 10.3905/pa.6.2.292
DP  - 2018 Oct 31
TA  - Practical Applications
PG  - 1--6
VI  - 6
IP  - 2
4099  - https://pm-research.com/content/6/2/1.10.short
4100  - https://pm-research.com/content/6/2/1.10.full
AB  - CTAs: Superior Performance or Diversification Only?, published in the Spring 2018 issue of The Journal of Wealth Management, demonstrates the advantages of including managed futures in investment portfolios. Although risk-adjusted returns are shown to be somewhat weak relative to traditional asset classes, very low correlation makes CTAs a valuable addition from a Modern Portfolio Theory standpoint. The authors, Martin Florea (now at Cevian Capital), Stefan Florea (now at Morgan Stanley), Iliya Kutsarov, Thomas Maier, and Marcus Storr (FERI Trust) also demonstrate that these diversification benefits do not necessarily require (actively managed, expensive) CTAs but may be delivered by (cheaper) alternative betas.TOPICS: Commodities, futures and forward contracts, performance measurement