(Harvest) There has been a preference for large managers within the managed futures space as measured by money flows, but it comes at a cost. Looking at year to date performance from the CTA Intelligence performance database shows the differences in performance based on size. What is clear is that the average performance of a set of 40 small managers is significantly higher than the performance of the largest 40 managers. Going down in size will allow clear increases in average return and with median returns; however, a closer look shows that the price of obtaining higher returns can be high in terms of regret.
Size Matters With Managed Futures But Not Just With Performance
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