This paper examines the performance of managed commodity funds during the period 1982 through 1996. Three types of managed commodity funds are available.
Pools have higher minimum-investment requirements than public funds.
Third, investors can directly retain a CTA to manage their funds on an individual basis. This avenue is open only to investors with substantial net worth and to institutional investors, since CTAs typically set high minimum-investment requirements. The fees charged by commodity funds vary significantly but are in general quite high. In addition to passing through to investors the fees charged by CTAs, pools and public funds also have similar management and incentive fees. Despite these high fees, a general conclusion of the paper is that some types of managed commodity fund investments provide high after-fee returns compared to traditional asset classes, and that when these investments are included in diversified stock and bond portfolios the performance of those portfolios is significantly enhanced.