CTAs are definitely not a crowded trade

Investors sometimes question whether large positions by CTA’s are creating significant liquidity risks for people invested in CTA / Managed Futures Alternative funds. Specialist firm J8 Capital show in a blog that the total notional outstanding in derivatives is huge (USD 444 trillion) compared to the USD 350 billion in AUM that all CTAs taken together manage. Even assuming a 200% average leverage applied by CTA funds, this implies that they hold only 0.16% of the total notional outstanding, definitely not a crowded trade.

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