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Crystallization: a hidden dimension of CTA fees

Gert Elaut (UGent) , Michael Frömmel (UGent) and John Sjödin (UGent)
(2015) FINANCIAL ANALYSTS JOURNAL. 71(4). p.51-62
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Abstract
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.
Keywords
HEDGE FUND MANAGEMENT, HIGH-WATER MARKS, INCENTIVES, CONTRACTS

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Citation

Please use this url to cite or link to this publication:

MLA
Elaut, Gert, et al. “Crystallization: A Hidden Dimension of CTA Fees.” FINANCIAL ANALYSTS JOURNAL, vol. 71, no. 4, 2015, pp. 51–62.
APA
Elaut, G., Frömmel, M., & Sjödin, J. (2015). Crystallization: a hidden dimension of CTA fees. FINANCIAL ANALYSTS JOURNAL, 71(4), 51–62.
Chicago author-date
Elaut, Gert, Michael Frömmel, and John Sjödin. 2015. “Crystallization: A Hidden Dimension of CTA Fees.” FINANCIAL ANALYSTS JOURNAL 71 (4): 51–62.
Chicago author-date (all authors)
Elaut, Gert, Michael Frömmel, and John Sjödin. 2015. “Crystallization: A Hidden Dimension of CTA Fees.” FINANCIAL ANALYSTS JOURNAL 71 (4): 51–62.
Vancouver
1.
Elaut G, Frömmel M, Sjödin J. Crystallization: a hidden dimension of CTA fees. FINANCIAL ANALYSTS JOURNAL. 2015;71(4):51–62.
IEEE
[1]
G. Elaut, M. Frömmel, and J. Sjödin, “Crystallization: a hidden dimension of CTA fees,” FINANCIAL ANALYSTS JOURNAL, vol. 71, no. 4, pp. 51–62, 2015.
@article{6884677,
  abstract     = {{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.}},
  author       = {{Elaut, Gert and Frömmel, Michael and Sjödin, John}},
  issn         = {{0015-198X}},
  journal      = {{FINANCIAL ANALYSTS JOURNAL}},
  keywords     = {{HEDGE FUND MANAGEMENT,HIGH-WATER MARKS,INCENTIVES,CONTRACTS}},
  language     = {{eng}},
  number       = {{4}},
  pages        = {{51--62}},
  title        = {{Crystallization: a hidden dimension of CTA fees}},
  volume       = {{71}},
  year         = {{2015}},
}

Web of Science
Times cited: