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CommoditiesMarkets, Performance, and Strategies$
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H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris

Print publication date: 2018

Print ISBN-13: 9780190656010

Published to Oxford Scholarship Online: March 2018

DOI: 10.1093/oso/9780190656010.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 16 October 2021

Commodity Trading Advisors and Managed Futures

Commodity Trading Advisors and Managed Futures

Chapter:
(p.217) 12 Commodity Trading Advisors and Managed Futures
Source:
Commodities
Author(s):

Koray D. Simsek

Publisher:
Oxford University Press
DOI:10.1093/oso/9780190656010.003.0012

Managed futures strategies provide investors with a dynamic exposure to commodities. Among other ways of investing in them, commodity trading advisors (CTAs) have become synonymous with this asset class, as they provide professional money management services using derivatives markets either in a pooled or individual setting. Most managed futures strategies display trend-following and momentum-type systematic trading features, which result in adopting a long-short portfolio approach. This chapter explains the characteristics and the growth of this commodity investing industry and provides an extensive literature review. Much of the literature finds that managed futures investing through CTAs provides excellent diversification benefits and performs well, especially in crisis times. Conversely, the non-uniformity of the databases and indices used in these studies lead to several biases. Some recent studies that directly address these shortcomings question the performance persistence of CTAs after fees.

Keywords:   commodities, managed futures, commodity trading advisor, trend-following, diversification benefits, performance persistence

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