CTA Market and Portfolio Diversification
Just four factors collectively explain an outsized fraction of the SG CTA Index’s current risk, while elevated long equity and bond exposures may compromise the amount of diversification CTAs now offer.
Just four factors collectively explain an outsized fraction of the SG CTA Index’s current risk, while elevated long equity and bond exposures may compromise the amount of diversification CTAs now offer.
Pensions’ return forecasts appear inversely related to their funded ratios, potentially indicating a structural bias.
An analysis of public pensions’ asset allocations suggests that their forecasts may prove too optimistic.