CTA · Core
CTA Fund of Funds
A CTA FoF allocates across managed-futures programs — usually via managed accounts — to mix speeds, styles, and managers.
Definition
The FoF buys a set of CTAs (trend slow, trend fast, short-term, discretionary, specialist ag). Managed accounts give position transparency and better fee nets than a fund stack. The job is covariance, not picking last year’s winner.
Why it matters
One manager is one lookback and one risk engine. A FoF is how you buy the category without a single-model hole.
Case
A FoF that is five slow-trend clones. The diversification slide was a fee layer. 2011 chopped all of them together.
How to read it
Pairwise correlations of the underlying programs, not the brochure count. Fee on fee only pays if the mix is real.
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