[en] 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.
Disciplines :
Finance
Author, co-author :
Gregoriou, Greg; State University of New York, Plattsburgh > Department of Finance
Hübner, Georges ; Université de Liège - ULiège > HEC-Ecole de gestion : UER > Gestion financière
Kooli, Maher; Université du Québec à Montréal - UQAM > School of Business and Management
Language :
English
Title :
Performance and persistence of commodity trading advisors: Parametric evidence
Publication date :
2010
Journal title :
Journal of Futures Markets
ISSN :
0270-7314
eISSN :
1096-9934
Publisher :
John Wiley & Sons, Inc. - Business, Hoboken, United States - New Jersey
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