Commodity trading advisers (CTAs) are mired in a 24-month long drawdown – a performance slump that follows a two-year period in which the industry's total assets surged more than 50% to around $330 billion.
It is no surprise then that investors are asking whether the recent performance woes are tied to the sudden jump in assets.
A paper from Newedge's prime brokerage division, ‘Capacity of the managed futures industry', wrestles with this very question.
For the study the authors assume the entir
The week on Risk.net, March 10-16 2018Receive this by email