Life at Sharpe's End

If you saw that a well-known Commodity Trading Advisor (CTA) was in a Top 20 CTA table with returns of 44.1% during the year 2000, you would probably think that CTA did a great job for his or her investors, right?

Author(s):

Hilary Till

Principal of Premia Capital Management, LLC; and Research Associate, EDHEC Risk and Asset Management Research Centre

But what if that CTA's Sharpe ratio was also .19? (This is a real example.) For futures programs, the meaning of rate-of-return numbers can be somewhat ambiguous, given that one does not need to set aside capital in the amount of a program's funding level. Instead, an investor can fractionally fund an account using notional funding.

Type: Working paper
Date: le 03/09/2001
Research Cluster : Finance

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