Performance and Persistance of Commodity Trading Advisors: Further evidence

G. Gregoriou, G.M.B.J. Hübner, M. Kooli

Research output: Contribution to journalArticleAcademicpeer-review

8 Citations (Scopus)

Abstract

We re-examine the performance of Commodity Trading Advisors (CTAs) over the January 1995 to October 2008 period. We compare abnormal performance based on a number of alternative existing models, as yell as a category-specific model introducing asset-, option-, and moments-based factors. Taking more factors into account significantly raises the explanatory power, and 9 out of 12 CTA categories significantly outperform the market. We find that numerous CTAs show persistence over a horizon of at least three months and they are also more likely to be persistent over a longer period. Yet, most of the persistence fades away upon the "acid test" of considering only the top and bottom quartiles of CTAs.

Original languageEnglish
Pages (from-to)725-752
Number of pages28
JournalJournal of Futures Markets
Volume30
Issue number8
DOIs
Publication statusPublished - Aug 2010

Keywords

  • HEDGE FUNDS
  • SURVIVORSHIP BIAS
  • RETURNS
  • RISK
  • SURVIVAL

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