CTA Strategies for Returns-Enhancing Diversification
In this paper, we analyzed the risk and performance characteristics of different strategies involving the trading of commodity futures, financial futures and options on futures employed by Commodity Trading Advisors (CTAs). Differing from previous studies, we employed full and split samples to exami...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2004
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3400 |
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| Institution: | Singapore Management University |
| Language: | English |