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RPM Educational: ”I’m in the band” – a CTA Sub Strategy Comparision

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Stockholm (HedgeNordic) – In their latest educational paper, Swedish CTA multi-manager Risk & Portfolio Management RPM looks at the various CTA strategies, what they have in common and what may differentiate them. While, for instance, the CTA sub-index to the Nordic Hedge Index (NHX) does not differentiate among the various CTAs and strategies, the sector is a far more inhomogenous group of strategies than may initially meet the eye.

Key point: Although trend following is the dominating strategy in the CTA universe, there are also other sub-strategies with different characteristics. Whereas trend following is superior in trending markets and persistent crises; during non-trending periods and short-lived crises, trend following suffers more than so-called “diversifying strategies”. Thus, combining different CTA sub-strategies can be advantageous from a portfolio perspective.

Read RPM´s paper ”I’m in the band” – a CTA Sub Strategy Comparision – here


Picture: (c) Zhitkov Boris—shutterstock.com

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Kamran Ghalitschi
Kamran Ghalitschi
Kamran has been working in the financial industry since 1994 and has specialized on client relations and marketing. Having worked with retail clients in asset management and brokerage the first ten years of his career for major European banks, he joined a CTA / Managed Futures fund with 1,5 Billion USD under management where he was responsible for sales, client relations and operations in the BeNeLux and Nordic countries. Kamran joined a multi-family office managing their own fund of hedgefunds with 400 million USD AuM in 2009. Kamran has worked and lived in Vienna, Frankfurt, Amsterdam and Stockholm. Born in 1974, Kamran today again lives in Vienna, Austria.

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