An interesting paper on managed futures funds, otherwise known as "Commodity Trading Advisors":
"Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors"
They argue that the after-fees performance of the average fund is hardly higher than U.S. government bond returns and that no skill is shown on average by CTAs. The latter isn't a surprising result, the former may be a bit surprising. But maybe not when you find that annual fees averaged 4 1/2 percent!
On the other hand some managed futures funds have very good track records and can provide diversification benefits. The question is will their outperformance persist? If it does then it will have been worthwhile to research the better funds to invest in.
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