Stats › Active, passive and flows › Managed futures net
Commodity trading advisors earned 5.4 per cent gross and 0.85 per cent after fees
| Measure | Average | Standard deviation | t | Sharpe |
|---|---|---|---|---|
| Naive unadjusted net excess return | 8.6% | not reported | 2.73 | not reported |
| Gross of fees, bias corrected | 5.37% | 9.79% | 2.05 | 0.55 |
| Net of fees, bias corrected | 0.85% | 9.70% | 0.33 | 0.09 |
| Fixed fee component | 2.19 points | |||
| Variable fee component | 2.33 points |
Excess returns over Treasury bills for 582 commodity trading advisors in a commercial database, 1994 to 2007, after excluding backfilled and pre listing observations. The naive figure is what the unadjusted database reports. The gross and net figures are the same portfolio before and after the fees actually charged. The average management fee is 2.15 per cent with a standard deviation of 1.22 and a range from 0.167 to 8.0 per cent; the average incentive fee is 19.50 per cent with a standard deviation of 6.32 and a range from zero to 50.
Corrected for database bias, the average advisor earned 5.37 per cent a year above Treasury bills before fees with a t statistic of 2.05, and 0.85 per cent after fees with a t statistic of 0.33. Fees absorbed 4.52 percentage points a year.
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