Cta Performance, Survivorship Bias and Dissolution Frequencies
Posted: 6 Nov 2003
There are 2 versions of this paper
Cta Performance, Survivorship Bias and Dissolution Frequencies
CTA Performance, Survivorship Bias and Dissolution Frequencies
Date Written: October 1, 2003
Abstract
Using one of the biggest database ever used in commodity trading advisors (CTA) academic study containing 1892 funds (including 1350 dissolved funds), we investigate CTA performance and persistence in performance in order to determine if some CTA consistently and significantly outperform their peers over various time periods. In order to test the persistence hypothesis, we use a methodology based on Carhart's (1997) decile classification. We also empirically decompose decile's performance across the CTA strategies covered in order to determine if some deciles are more exposed to certain strategies over time. We also analyze the presence of survivorship bias and its evolution over time. We conclude the study in analyzing the dissolution frequencies across deciles and its evolution over time.
Keywords: commodity trading advisors, CTA, managed futures, futures, hedge fund, alternative investments, persistence, performance, Carhart, Capocci, Barclay Trading Group, survivorship bias, dissolution frequencies, dissolution, index
JEL Classification: G2, G11, G23
Suggested Citation: Suggested Citation