Quantifying CTA Risk Management

This paper constructs a framework based on four risk management factors and a baseline equal dollar risk strategy. The factors take into account liquidity, correlation, volatility and capacity. This paper also applies the four risk management factors to the Newedge Trend Index from March 2001 to May 2015 and Managed Futures 40 Act mutual funds from January 2014 to May 2015. According to this paper's analysis, the four risk management factors may quantify CTA performance.

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