RT Journal Article
SR Electronic
T1 Does CTA Size Erode Performance?
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 71
OP 74
DO 10.3905/jwm.2006.614439
VO 8
IS 4
A1 Greg N. Gregoriou
YR 2006
UL https://pm-research.com/content/8/4/71.abstract
AB The author examines the returns of commodity trading advisers (CTAs) from August 1995 to July 2005 to determine whether the size of a CTA affects its performance. Size is often quoted by academics as a restraint to performance improvement, in particular when a considerable amount of capital is constantly injected into a fund. Do CTAs with such inflows of capital neglect their daily trading behavior? The findings suggest that the size of a CTA may have an impact on its performance. Furthermore, the author believes that investors who want to incorporate CTAs into their portfolios should concentrate on performance measurements such as risk-adjusted return rather than fund size.TOPICS: Commodities, performance measurement, portfolio construction