Same Same But Different -- Stylized Facts of CTA Sub Strategies
26 Pages Posted: 19 Feb 2021
Date Written: December 21, 2020
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
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