Gregoriou, Greg N.; Hübner, Georges; Kooli, Maher - In: Journal of Futures Markets 30 (2010) 8, pp. 725-752
We re‐examine the performance of Commodity Trading Advisors (CTAs) over the January 1995 to October 2008 period. We compare abnormal performance based on a number of alternative existing models, as well as a category‐specific model introducing asset‐, option‐, and moments‐based...