Just a One-Trick Pony? An Analysis of CTA Risk and Return

As summarized by Ana-Maria Fuertes, Ph.D., Professor in Finance and Econometrics, Cass Business School, City, University of London, U.K. and Member of the GCARD’s Editorial Advisory Board

This digest article summarizes a co-written paper by the following four Cork University Business School, University College Cork, Ireland researchers: Jason Foran, Ph.D.; Mark Hutchinson, Ph.D.; David McCarthy, Ph.D.; and John O’Brien, Ph.D. Their article examines the ability of alternative-risk-premia products to capture the returns of the commodity trading advisor (CTA) sector. The paper’s empirical analysis indicates that CTAs have return series that cannot be easily replicated through factor investing.