This paper explains how diversification in CTA portfolios reduces idiosyncratic differences in signal construction, parameter selection, and risk management. CTA strategy construction may make a difference in situations with opportunities in momentum, and CTA strategies tend to have improved return dispersion on the upside.
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.