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Fig.8 The relative size of livestocks traded by the CTA industry


Source: J8 54.55% 45.45%


Lean hogs Live cattle


Fig.11 The relative size of G10 currencies sector traded by the CTA industry


Source: J8 1.56% 1.04%


Equity indices The second most popular markets were equity indices, with the S&P 500 taking the lead with 23% of the share (see Fig.9).


Fig.9 The relative size of equity indices sector traded by the CTA industry


Source: J8


3.67% 2.29%


4.59% 22.48%


6.88% 6.42%


10.55% 11.01% 12.84% 14.22% 2.29% 1.83% S&P 500 0.92%


Euro STOXX 50 Nikkei 225 DAX


FTSE 100 Nasdaq


HANG SENG CAC40 KOSPI2 IBEX 35 FTSE/MIB S&P/TSX 60 Other


EM currency markets Emerging market currencies are slightly less popular in the CTA industry than G10 currencies, with a total of 11% of all ticks received. The most popular EM currency was the Brazilian real.


Interest rate markets The Eurodollar dominates the interest rate markets (45%). However, Fig.1 shows that rates in total were the second least popular category, with only 7% of the total ticks being allocated to rates.


Government bond markets Government bond futures are the third most popular asset class (see Fig. 1). Within government bonds, 10-year US Treasury Notes (20%) and 10-year Euro Bunds (16%) were the most popular markets. The other government bond markets show similarly popularity among each other (see Fig.10).


Fig.10 The relative size of government bonds sectors traded by the CTA industry


Source: J8


7.88% 4.43% 2.96%


8.87% 8.37%


9.36% 0.49% 20.20% 15.76%


10yr US Treasury Note Euro Bund (10yr) 5yr US Treasury Note 30yr US Treasury Bond 2yr US Treasury Note 10yr Japanese Govt. Bond Long Gilt


10.84% 10.84%


Euro Bobl (5yr) Euro Schatz (2yr) Canadian 10yr Bond Other


Volatility markets There was only one volatility market listed on the survey, the CBOE VIX. However, it was voted the eighth most popular individual market out of all listed markets. Three respondents suggested VDAX and Eurex VSTOXX as relevant volatility markets.


Markets ranked by popularity Table 1 shows all 82 markets included in the survey, ranked by their popularity as measured by the numbers of ticks received.


Conclusion Markets have been ranked based on popularity within the CTA and managed futures industry. The commodity markets emerged as the most relevant and traded market in the CTA industry, closely followed by equity indices, government bonds, and G10 currencies.


However, the mix of asset classes of the most popular single markets suggests that the CTA and managed futures industry trades diversified asset portfolios. THFJ


7.81% 3.13%


25.00% 11.98% 13.54% 16.15% 19.79%


Euro FX Japanese Yen British Pound Australian Dollar Swiss Franc Canadian Dollar New Zealand Dollar Swedish Krona Norwegian Krone


G10 currency markets Within the G10 currencies, the euro and the Japanese yen were the favourite markets (see Fig.11).


Table 1 Ranking of all 82 surveyed single markets by their popularity


NO. OF TICKS


49 48 46 45 44 43 41 40 38 37 33 32 31 31 31 28 28 28 28 26 26 24 24 24 23 23 22 22 22 22 20 20 19 19 18 18 18 17 16 15 15 15 14 14 13 12 12 12 12 11 10 10 9 8 8 8 7 7 7 6 6 6 6 6 5 5 5 5 4 4 3 3 3 3 2 1 1 1 1 1 1 0


MARKET


S&P 500 Euro FX Gold


Copper Eurodollar WTI Crude Oil


10yr US Treasury Note CBOE VIX


Japanese Yen Brent Crude Oil Wheat


Euro Bund (10yr) Corn


Euro STOXX 50 British Pound Soybeans Coffee


Sugar #11 Nikkei 225


Natural Gas (HH) Australian Dollar Lean Hogs DAX


Brazilian Real FTSE 100 Swiss Franc Silver


5yr US Treasury Note 30yr US Treasury Bond 3M Euro Euribor Live Cattle Mexican Peso


Aluminum (primary) 2yr US Treasury Note


10yr Japanese Government Bond Russian Ruble South African Rand Long Gilt


Euro Bobl (5yr) Nasdaq


Canadian Dollar Indian Rupee HANG SENG Singapore Dollar Korean Won Cocoa


Cotton #2


Heating Oil #2 3M Sterling 3M Euroyen CAC40


Turkish New Lira Euro Schatz (2yr) Platinum KOSPI2


Taiwan Dollar Gasoline RBOB Nickel (primary) Polish Zloty Soybean Oil


Canadian 10yr Bond 3M Euroswiss


New Zealand Dollar Indonesian Rupiah Soybean Meal IBEX 35 FTSE/MIB


Malaysian Ringgit Zinc (high grade) S&P/TSX 60 Gas Oil


Palladium


Bank Accept (Canada) Swedish Krona Norwegian Krone Lead Tin


Philippine Peso Czech Koruna Argentine Peso Chilean Peso Columbian Peso


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