Same Same But Different -- Stylized Facts of CTA Sub Strategies

26 Pages Posted: 19 Feb 2021

See all articles by Péter Erdős

Péter Erdős

RPM Risk & Portfolio Management AB, Stockholm, Sweden

Youwei Li

Hull University Business School

Ruipeng Liu

Deakin University

Alexander Mende

RPM Risk & Portfolio Management AB; University of Hannover

Date Written: December 21, 2020

Abstract

Using a unique dataset of daily returns of 89 programmes of Commodity Trading Advisors (CTA), we investigate the distributional properties of CTA strategies including trend following, fundamental and contrarian strategies. We find that daily data exhibits strong features of fat-tail, volatility clustering, and long memory in volatility. This is different from previous studies which are often based on monthly data. Our study contributes to the literature of stylized facts of financial markets, it also provides insights to practitioners because the information from monthly data might be misleading.

Keywords: Commodity Trading Advisors, trend following, fundamental strategy, contrarian strategy, stylized facts

JEL Classification: C58, G14, G23

Suggested Citation

Erdős, Péter and Li, Youwei and Liu, Ruipeng and Mende, Alexander, Same Same But Different -- Stylized Facts of CTA Sub Strategies (December 21, 2020). Available at SSRN: https://ssrn.com/abstract=3753027 or http://dx.doi.org/10.2139/ssrn.3753027

Péter Erdős

RPM Risk & Portfolio Management AB, Stockholm, Sweden ( email )

Stureplan 15
SE-111 45 Stockholm
Sweden

Youwei Li (Contact Author)

Hull University Business School ( email )

University of Hull
Hull, HU6 7RX
United Kingdom

Ruipeng Liu

Deakin University ( email )

Department of Finance, Deakin Business School
221 Burwood Highway
Melbourne, Victoria 3125
Australia

Alexander Mende

RPM Risk & Portfolio Management AB ( email )

Stureplan 15
SE-111 45 Stockholm
Sweden

University of Hannover

Welfengarten 1
D-30167 Hannover, 30167
Germany

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