Abstract
Since the early 1990s Commodity Trading Advisors (CTAs) have done well, but in recent extreme market events and negative S&P 500 months, they have significantly outperformed hedge funds and market indices. The authors conclude that the trend by pension fund managers as well as wealthy individuals toward increasing their exposure to CTAs as complementary alternative investment vehicles in traditional stock, bond, and hedge fund portfolios makes sense, suggesting that they have understood the diversification benefits inherent in these strategies.
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