Abstract
Funds of funds managers and their investors can benefit by incorporating diversifying assets like Commodity Trading Advisors (CTAs) into portfolios that hold traditional investments. This will make the portfolios more efficient by further improving the risk-and-return profiles. The limitations in current performance measurements like benchmarking and the traditional Sharpe ratio should be acknowledged and further improved upon. The main challenge in analyzing CTAs and other managed-futures based strategies, such as Global Macro, is to look beyond their styles considering other parameters like portfolio (and instrument) composition, trading strategies, and trade executions. In short, given these complexities, analyzing or understanding CTA9s is certainly a challenge.
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