TAILIEUCHUNG - Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 4

CHAPTER 4 CTA Performance, Survivorship Bias, and Dissolution Frequencies. Using a database containing 1,892 funds (including 1,350 dissolved funds), we investigate CTA performance and performance persistence to determine if some CTAs consistently and significantly outperform their peers over various time periods. | 4 CTA Performance Survivorship Bias and Dissolution Frequencies Daniel Capocci Using a database containing 1 892 funds including 1 350 dissolved funds we investigate CTA performance and performance persistence to determine if some CTAs consistently and significantly outperform their peers over various time periods. To test the persistence hypothesis we use a methodology based on Carhart s 1997 decile classification. We examine performance across deciles and across CTA strategies to determine if some deciles are more exposed to certain strategies over time. We also analyze survivorship bias and its evolution over time. We conclude the study by analyzing the dissolution frequencies across deciles and their evolution over time. INTRODUCTION AND LITERATURE REVIEW Unlike hedge funds which appeared in the first academic journal in 1997 commodity trading advisors CTAs have been studied for a longer time. Many studies were published in the late 1980s and in the early 1990s see . Elton Gruber and Rentzler 1987 1989 1990 Edwards and Ma 1988 . More recently Billingsley and Chance 1996 and Edwards and Park 1996 showed that CTA funds can add diversification to stocks and bonds in a mean-variance framework. According to Schneeweis Savanayana and McCarthy 1991 and Schneeweis 1996 the benefits of CTAs are similar to those of hedge funds in that they improve and can offer a superior risk-adjusted return trade-off to stock and bond indices while acting as diversifiers in investment portfolios. Fung and Hsieh 1997b showed that a constructed CTA style factor persistently has a positive return when the Standard Poor s S P has a 49 50 PERFORMANCE negative return. According to Schneeweis Spurgin and Georgiev 2001 CTAs are known to short stock markets regularly. Fung and Hsieh 2001a analyzed CTAs and concluded that their impact on portfolios is similar to that of a lookback call and a lookback Gregoriou and Rouah 2003a examined whether CTA percent changes in net asset values NAVs

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