Are CTAs Mumbo Jumbo or additive for a diversified hedge fund portfolio? – ValueWalk Premium
Passive Investing IPOs Market Volatility

Are CTAs Mumbo Jumbo or additive for a diversified hedge fund portfolio?

1.      CTAs were the highest performing core hedge fund strategy in 2015
2.      Represent approximately 15% of the hedge fund industry assets

3.      Have low correlation to other investment strategies 

4.      Most importantly, and not understood by most investors, CTAs have dynamic correlation with long only equity benchmarks. Some CTAs correlations have historically experienced  good dynamics by increasing in correlation during up markets,  and becoming negatively correlated in protracted down markets.  Correlations between fundamentally based long-only and hedge fund strategies can have bad dynamics by dramatically increasing during market selloffs, which is exactly when an investor wants correlations to . . .

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