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, July 7-13, 2018Receive this by email