Crystallization: : A hidden dimension of CTA fees

• Autores: Gert Elaut, Michael Frömmel, John Sjödin
• Localización: Financial analysts journal, ISSN-e 0015-198X, Vol. 71, Nº. 4, 2015, págs. 51-62
• Idioma: inglés
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• Resumen

  • The authors investigated the impact on fee load of variations in the frequency with which commodity trading advisers update their high-water mark. They documented crystallization frequencies used in practice, analyzed the effect on fee load, and found that the crystallization frequency set by the manager significantly affects fee load and should thus be a relevant consideration for investors