Abstract
From the prices of the seven futures markets, we explore various ways of engineering the performance measurement and market and operational risk management for the Commodity Trading Advisor or the CTA fund. We assume a portfolio account size of $200 000. From trading limits, the portfolio is equally weighted with margins ($82.5K). The margin to equity is therefore equal to 41.25%. We forecast positions, either long (+1) or short (-1), for each day and for the other instruments by applying a 30-day moving average. If the price is superior to the moving average, we buy and if not we sell. We assume no trading costs, no reinvestment of profits and a risk free rate of 3%. We present more details of these transactions in this document.
