Alternative Links: Low or No Fee Alternatives
By: RCM Alternatives
Harvest Exchange
August 23, 2017
Alternative Links: Low or No Fee Alternatives
Despite Commodity Trading Advisors’ reputation as portfolio diversifiers, a decomposition of the most prominent factor exposures in the SG CTA Index suggests that just four factors collectively explain an outsized fraction of the index’s risk. Additionally, average current long exposures to both equities and bonds are elevated, potentially compromising the amount of diversification CTAs truly offer.
Originally Published at: Alternative Links: Low or No Fee Alternatives
