RT Journal Article
SR Electronic
T1 Practical Applications of The Impact of Performance Fees on Multi-Manager CTA Portfolios
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 1
OP 6
DO 10.3905/jai.22.s1.003
VO 22
IS Supplement
A1 Kathryn Kaminski
A1 Marat Molyboga
YR 2019
UL https://pm-research.com/content/22/Supplement/1.3.abstract
AB In The Impact of Performance Fees on Multi-Manager CTA Portfolios, published in the Fall 2019 issue of The Journal of Alternative Investments, Kathryn Kaminski of AlphaSimplex Group and Marat Molyboga of Efficient Capital Management quantify the relative performance of traditional and pooled fee structures for multi-manager commodity trading advisor (CTA) portfolios. Absent their simulation approach to estimating performance differences, the relative impact of these fee structures is not plainly evident. Databases of CTA returns not only suffer from several biases, but also report returns net of fees. This net fee return may not be applicable to a host of investors that can negotiate different fees and fee structures.Manager fees represent a very large portion of gross CTA portfolio returns. The authors examine relative net portfolio returns and Sharpe ratios for different fee structures, levels of management fees and incentive fees, and across different crystallization frequencies and different numbers of managers within CTA portoflios. The results are important to investors who wish to make informed, net return-maximizing decisions regarding fee structures and fee-related characteristics for multi-manager CTA portfolio investments.TOPICS: Commodities, futures and forward contracts, performance measurement