Performance and persistence of Commodity Trading Advisors: Further evidence
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 well 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. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:725–752, 2010
Year of publication: |
2010
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Authors: | Gregoriou, Greg N. ; Hübner, Georges ; Kooli, Maher |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 30.2010, 8, p. 725-752
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Publisher: |
John Wiley & Sons, Ltd. |
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