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A commodity pool operator (CPO) is deciding whether or not to hire a particular commodity trading advisor (CTA). The CTA has a good track record of performance and often exhibits negative correlation with equities thus enhancing overall performance in down markets. Which of the following statements regarding whether or not the CPO should hire the CTA is most accurate? The CPO should: A. not hire the CTA if their beta relative to other CTAs managing the pool of futures contracts is too low, as this indicates that the CTA’s past returns are low relative to the pool of operators. B. hire the CTA only if its beta and correlation have been considered in determining its risk relative to the pool of operators. C. not hire the CTA if their past performance is highly correlated with the pool of operators, as this indicates their volatility relative to the pool is high. |