CTAs turn to fundamental models in search of diversification

A growing number of commodity trading advisers (CTAs) believe fundamental strategies can help improve the return profile of trend-following managed futures programs.

The managed futures industry is synonymous with trend following and momentum strategies that operate on the premise that price information is the best indicator of future market performance.

But a handful of commodity trading advisers (CTAs) are going beyond price-based models and incorporating fundamental strategies into their investment programs. For these CTAs, fundamental models represent both a source of diversification and a complementary factor that can improve the performance of a managed