Decomposing a public CTA Index


Michael Harris made a comment regarding the low performance for the large CTAs (https://www.priceactionlab.com/Blog/2020/05/top-20-cta-performance/). Using the NilssonReport, we can have a closer look at the underlying managers. The results are presumably disappointing given the large moves that have taken place YTD. In particular, it looks as if some of the managers focused on non-Trend strategies … Continue reading Decomposing a public CTA Index