Search Results - subject:"Commodity Trading Advisors"

The crisis alpha of managed futures : myth or reality?

Asif, Raheel; Frömmel, Michael; Mende, Alexander - In: International review of financial analysis 80 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013366290

Same same but different : stylized facts of CTA sub strategies

Erdős, Péter; Li, Youwei; Liu, Ruipeng; Mende, Alexander - In: International review of financial analysis 74 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012803930

Commodity trading advisor indexes and alpha generation relationships

Mackey, Scott - In: The journal of applied business research 30 (2014) 6, pp. 1831-1845

Persistent link: https://www.econbiz.de/10010471156

Portfolio management of commodity trading advisors with volatility-targeting

Molyboga, Marat - In: The journal of investment strategies 8 (2019) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10012426117

The profiles of merged hedge funds, funds of hedge funds, and CTA

Gregoriou, Greg N.; Kooli, Maher - In: The journal of asset management 18 (2017) 1, pp. 49-63

Persistent link: https://www.econbiz.de/10011592761

Assessing hedge fund performance with institutional constraints : evidence from CTA funds

Molyboga, Marat; Baek, Seungho; Bilson, John F. - In: The journal of asset management 18 (2017) 7, pp. 547-565

Persistent link: https://www.econbiz.de/10011855224

Factors affecting the birth and fund flows of CTAs

Do, Viet; Faff, Robert W.; Lajbcygier, Paul; … - In: Australian journal of management 41 (2016) 2, pp. 324-352

Persistent link: https://www.econbiz.de/10011577336

US dollar carry trades in the era of "cheap money"

Shehadeh, Ali; Erdős, Péter; Li, Youwei; Moore, Michael J. - In: Finance a úvěr 66 (2016) 5, pp. 374-404

Persistent link: https://www.econbiz.de/10011582471

Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors

Bhardwaj, Geetesh; Gorton, Gary; Rouwenhorst, K. - School of Management, Yale University - 2008

Investors face significant barriers in evaluating the performance of hedge funds and commodity trading advisors (CTAs …. We focus on commodity trading advisors, a subset of hedge funds, and show that during the period 1994-2007 CTA excess …

Persistent link: https://www.econbiz.de/10008852945

Stochastic dominance analysis of CTA funds

Lean, Hooi; Phoon, Kok; Wong, Wing-Keung - In: Review of Quantitative Finance and Accounting 40 (2013) 1, pp. 155-170

In this paper, we employ the stochastic dominance (SD) approach to rank the performance of commodity trading advisors …

Persistent link: https://www.econbiz.de/10010867741