infonet-economy

Commodity trading advisors (CTAs) trade a wide variety of OTC and exchange-traded forwards, futures, and options in different markets based on a wide variety of trading models. This paper analyzes risk and return of CTAs in the period from 1996 to 2005 with regard to different time periods and market environments. We find that CTA returns and performance numbers are relatively stable compared to traditional investments. Moreover, our analysis of correlations within different market environments shows that CTAs are good portfolio diversifiers.