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Unfortunately, my CTA was diversified!

The CTA space is now more diverse than ever. When considering an investment in CTAs for risk mitigation purposes, how to pick the right one? In this note we will take a closer look at multistrategy CTAs and analyze how they fare in comparison to their pure trend counterparts. We find pure trend CTAs offer a better protection against deep losses of traditional portfolios than multistrategy CTAs. The quest for improving their standalone profile might have come with adding convergent strategies, though complementary to trend, but in some way similar to the investors’ underlying portfolios.

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