ACADEMIC RESEARCH SUPPORTING CTA STRATEGIES UNVEILED

July, 2012 Print

ACADEMIC RESEARCH SUPPORTING CTA STRATEGIES UNVEILED
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CTA (commodity trading advisor) strategies, which use quantitative techniques to follow trends across a broad selection of markets, can deliver superior risk-adjusted returns according to a new report.

Dr Robert Kosowski, director of the Centre for Hedge Fund Research at Imperial College Business School, said that research showed that CTA funds can take advantage of both up and down markets, giving important diversification benefits. He added: “Our results show that futures markets are indeed liquid and we do not find evidence of capacity constraints, except for some very short periods like the most recent financial crisis.”

Mercer principal, Simon Fox, commented on CTAs: “Under the bonnet CTAs aren’t magic, they’re exploiting risk premium. CTAs should, over the long term, provide returns.” Cantab Capital Partners CIO, CEO and founding partner, Dr Ewan Kirk, added: “Often too much focus is placed on the macro picture, with industry commentators saying there are no trends. You need to step back from the equity markets – Cantab for example, and many other CTAs trade well over 100 different markets. Each market behaves very differently, so there’s low cross-asset correlation.” Cantab Capital Partners is a systematic global macro hedge fund manager.

CTA (commodity trading advisor)
strategies, which use quantitative
techniques to follow trends across a
broad selection of markets, can deliver
superior risk-adjusted returns according
to a new report.
Dr Robert Kosowski, director of the
Centre for Hedge Fund Research at
Imperial College Business School, said
that research showed that CTA funds
can take advantage of both up and
down markets, giving important
diversification benefits. He added: “Our
results show that futures markets are
indeed liquid and we do not find
evidence of capacity constraints, except
for some very short periods like the
most recent financial crisis.”
Mercer principal, Simon Fox,
commented on CTAs: “Under the
bonnet CTAs aren’t magic, they’re
exploiting risk premium. CTAs should,
over the long term, provide returns.”
Cantab Capital Partners CIO, CEO and
founding partner, Dr Ewan Kirk, added:
“Often too much focus is placed on
the macro picture, with industry
commentators saying there are no
trends. You need to step back from the
equity markets – Cantab for example,
and many other CTAs trade well over
100 different markets. Each market
behaves very differently, so there’s low
cross-asset correlation.” Cantab Capital
Partners is a systematic global macro
hedge fund manager.

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