Abstract

http://ssrn.com/abstract=2205836
 
 

References (48)



 
 

Citations (1)



 
 

Footnotes (6)



 


 



Managed Futures: A Composite CTA Performance Review


Thomas Schneeweis


University of Massachusetts at Amherst - Isenberg School of Management

Richard Spurgin


Clark University - Graduate School of Management

Edward Szado


University of Massachusetts at Amherst - Isenberg School of Management

January 23, 2013


Abstract:     
The data and time dependency of empirical financial research is a common concern to both academics and practitioners. Changes in regulatory, trading and investor environments may result in dramatic changes in the underlying viability of any investment vehicle and/or trading process. This is especially true for managed futures programs for which a single commonly used database does not exist and which often are dynamic in nature and are impacted by changes in trading instruments and underlying markets. As a result, empirical analysis of the potential benefits of Managed Futures (e.g., Commodity Trading Advisors (CTAs)) may be impacted by the period of analysis and the strategy composition of the database or index used to represent the managed futures investment. In this analysis, we conduct a series of empirical tests on CTA indices which are designed to represent the overall return to the reporting universe of CTAs (e.g., composite CTA indices). These tests are similar to those previously conducted on a series of ‘composite’ hedge fund indices (Schneeweis et. al., 2012). Using major composite CTA indices as a surrogate for CTA portfolios, these tests include cross-sectional and time series analysis. Results reflect the common wisdom that performance results may be dominated by the period of analysis as well as the index and multi-factor regression model used.

Number of Pages in PDF File: 49

Keywords: Hedge Funds, database, biases, TASS, CISDM, HFR, CTA, Managed Futures

working papers series





Download This Paper

Date posted: January 24, 2013  

Suggested Citation

Schneeweis, Thomas and Spurgin, Richard and Szado, Edward, Managed Futures: A Composite CTA Performance Review (January 23, 2013). Available at SSRN: http://ssrn.com/abstract=2205836 or http://dx.doi.org/10.2139/ssrn.2205836

Contact Information

Thomas Schneeweis
University of Massachusetts at Amherst - Isenberg School of Management ( email )
Amherst, MA 01003-4910
United States
413-545-5641 (Phone)
413-545-3858 (Fax)
Richard Spurgin
Clark University - Graduate School of Management ( email )
950 Main Street
Worcester, MA 01610
United States
Edward Szado (Contact Author)
University of Massachusetts at Amherst - Isenberg School of Management ( email )
Amherst, MA 01003-4910
United States
Feedback to SSRN


Paper statistics
Abstract Views: 938
Downloads: 321
Download Rank: 53,592
References:  48
Citations:  1
Footnotes:  6

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.610 seconds