CTA Diversification

  • 31 Aug 2015
  • By Efficient Capital Management

Handy and Molyboga conduct a large scale simulation on roughly 4700 CTA funds from 1994 to 2013 to test whether concentrated portfolios or diversified portfolios produce better results for investors. Their results indicate that diversified portfolios have a higher risk-to-return ratio, which contradicts the common practice amongst institutional investors of building concentrated porfolios.

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