PT  - JOURNAL ARTICLE
AU  - Greg N. Gregoriou
TI  - Does CTA Size Erode Performance?
AID  - 10.3905/jwm.2006.614439
DP  - 2006 Jan 31
TA  - The Journal of Wealth Management
PG  - 71--74
VI  - 8
IP  - 4
4099  - https://pm-research.com/content/8/4/71.short
4100  - https://pm-research.com/content/8/4/71.full
AB  - The author examines the returns of commodity trading advisers (CTAs) from August 1995 to July 2005 to determine whether the size of a CTA affects its performance. Size is often quoted by academics as a restraint to performance improvement, in particular when a considerable amount of capital is constantly injected into a fund. Do CTAs with such inflows of capital neglect their daily trading behavior? The findings suggest that the size of a CTA may have an impact on its performance. Furthermore, the author believes that investors who want to incorporate CTAs into their portfolios should concentrate on performance measurements such as risk-adjusted return rather than fund size.TOPICS: Commodities, performance measurement, portfolio construction