Managed Futures: A Composite CTA Performance Review

49 Pages Posted: 24 Jan 2013  

Thomas Schneeweis

University of Massachusetts Amherst - Isenberg School of Management

Richard Spurgin

Clark University - Graduate School of Management

Edward Szado

Providence College

Date Written: 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.

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

Suggested Citation

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

Thomas Schneeweis

University of Massachusetts 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)

Providence College ( email )

United States

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