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...

This study examines the implied volatility expiration week effect using intra-day bid and ask quotes on Samp;P 100 index options and intra-day returns on the underlying index. By using a time series model to construct a measure of unexpected variance, we show that only expiring index options...

We investigate the effect of leverage on Commodity Trading Advisors' (CTAs) performance measurement. We find that leverage has important effects on the cross section of CTA returns, volatility, and survival experience. On average, a 100‐basis points increase in leverage is associated with a...