| Abstract: | 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 factors. Taking more factors into account significantly raises the explanatory power, and 9 out of 12 CTA categories significantly outperform the market. We find that numerous CTAs show persistence over a horizon of at least three months and they are also more likely to be persistent over a longer period. Yet, most of the persistence fades away upon the “acid test” of considering only the top and bottom quartiles of CTAs. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:725–752, 2010 |
