The survivorship of commodity trading advisors: 1990-2003

G.M.B.J. Hübner, G. Gregoriou, N. Papageorgiou, F. Rouah

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Abstract

This article investigates the mortality of commodity trading advisors (ctas) over the 1990–2003 period, a longer horizon than any encompassed in the literature. A detailed survival analysis over the full range of cta classifications is provided, and it is found that the median lifetime of ctas in this sample is different than previously documented. Through the implementation of nonparametric, parametric, and semiparametric statistical techniques, it is emphasized that cta survivorship is heavily contingent on the strategy followed by the fund. Furthermore, a significant positive size effect on survival is shown, whereas poor returns, and to a lesser extent, high-risk exposure, appear to hasten mortality.
Original languageEnglish
Pages (from-to)795-816
Number of pages22
JournalJournal of Futures Markets
Volume25
Issue number8
DOIs
Publication statusPublished - 1 Jan 2005

Cite this

Hübner, G. M. B. J., Gregoriou, G., Papageorgiou, N., & Rouah, F. (2005). The survivorship of commodity trading advisors: 1990-2003. Journal of Futures Markets, 25(8), 795-816. https://doi.org/10.1002/fut.20167