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...

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...