Survival of commodity trading advisors: 1990-2003

[en] 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. (c) 2005 Wiley Periodicals, Inc.

Disciplines :

Finance

Author, co-author :

Gregoriou, Greg N

Hübner, Georges ; Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Gestion financière

Papageorgiou, Nicolas

Rouah, Fabrice

Language :

English

Title :

Survival of commodity trading advisors: 1990-2003

Publication date :

August 2005

Journal title :

Journal of Futures Markets

ISSN :

0270-7314

eISSN :

1096-9934

Publisher :

John Wiley & Sons Inc, Hoboken, United States - New Jersey

Volume :

Issue :

Pages :

795-815

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 07 January 2010

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Bibliography

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