Performance, Persistence, and Pay: A New Perspective on CTAs

Ingomar Krohn, Alexander Mende, Michael J. Moore, Vikas Raman

Publikation: KonferencebidragPaperForskningpeer review

Abstrakt

Using a large and representative dataset of commodity trading advisors (CTAs), we provide compelling evidence that CTAs generate significant net excess returns of at least 4.1% annually; that approximately 64% of the funds have positively skewed returns; and that there is considerable heterogeneity among CTAs, with systematic trend followers doing significantly better than other subcategories. More importantly, we find that CTAs not only beat passive, normative benchmarks, with a yearly gross alpha of at least 5.3% but also generate significant, incremental crisis alpha during periods of equity market turmoil. Finally, we show that cross-sectional differences in the performance
of CTAs are persistent up to three years and that managerial compensation predicts fund performance. Our results are consistent with a rational market where investors compete to invest with successful CTA managers who use fees to signal their skills to investors.
OriginalsprogEngelsk
Publikationsdato2019
Antal sider53
StatusUdgivet - 2019
Begivenhed2019 Financial Management Association European Conference - University of Strathclyde, Glasgow, Storbritannien
Varighed: 12 jun. 201914 jun. 2019
https://www.fma.org/glasgow

Konference

Konference2019 Financial Management Association European Conference
LokationUniversity of Strathclyde
Land/OmrådeStorbritannien
ByGlasgow
Periode12/06/201914/06/2019
Internetadresse

Emneord

  • Commodity trading advisors
  • Alternative investments
  • Information and market efficiency
  • Managerial skill
  • Performance

Citationsformater