𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Survival of commodity trading advisors: 1990–2003

✍ Scribed by Greg N. Gregoriou; Georges Hübner; Nicolas Papageorgiou; Fabrice Rouah

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
149 KB
Volume
25
Category
Article
ISSN
0270-7314

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✦ Synopsis

Abstract

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. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:795–815, 2005

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Performance and persistence of Commodity
Performance and persistence of Commodity Trading Advisors: Further evidence
✍ Greg N. Gregoriou; Georges Hübner; Maher Kooli 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 148 KB

## Abstract 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.