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

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

*Corresponding author for this work

Research output: Working paperResearch


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 amongst 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 3 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.
Original languageEnglish
Place of PublicationWarwick
PublisherWarwick Finance Group. Warwick Business School. University of Warwick
Number of pages44
Publication statusPublished - 14 May 2020
Externally publishedYes
SeriesWBS Finance Group Research Paper


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

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