CTA Strategies for Returns-Enhancing Diversification

• Main Authors: LEE, David Kuo Chuen, KOH, Francis, PHOON, Kok Fai
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2004
• Subjects: commodity trading advisors; commodity futures; performance measures; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3400
• Institution: Singapore Management University

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...