Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Alternative Investments
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Alternative Investments

The Journal of Alternative Investments

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • LinkedIn
  • Twitter

Just a One-Trick Pony? An Analysis of CTA Risk and Return

Jason Foran, Mark C. Hutchinson, David F. McCarthy and John O’Brien
The Journal of Alternative Investments Fall 2017, 20 (2) 8-26; DOI: https://doi.org/10.3905/jai.2017.20.2.008
Jason Foran
is a researcher in the Cork University Business School at University College Cork in Cork, Ireland
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Mark C. Hutchinson
is a professor in the Cork University Business School at University College Cork in Cork, Ireland
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
David F. McCarthy
is an adjunct professor in the Cork University Business School at University College Cork in Cork, Ireland
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
John O’Brien
is an assistant professor in the Cork University Business School at University College Cork in Cork, Ireland
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

Recently, a range of alternative risk premium products has been developed, promising investors hedge fund/Commodity Trading Advisor (CTA)-like returns with higher liquidity and transparency and relatively low fees. The attractiveness of these products rests on the assumption that they can deliver similar returns. Using a novel reporting bias–free sample of 3,419 CTA funds as a testing ground, the authors’ results suggest that this assumption is questionable. They find that CTAs are not a homogenous group. They identify eight different CTA substrategies, each with very different sources of return and low correlation between substrategies. To illustrate the difficulty of modelling the strategies, they specify recently identified alternative risk premiums from the academic literature as factors to examine the sources of return of CTAs. They find that these premiums fail to explain between 56% and 86% of returns. Their results suggest that given the heterogeneity of CTAs, although these new products may deliver on liquidity, transparency, and fees, investors expecting hedge fund/CTA-like returns may be disappointed.

TOPICS: Commodities, futures and forward contracts, risk management, performance measurement

  • © 2017 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Alternative Investments: 20 (2)
The Journal of Alternative Investments
Vol. 20, Issue 2
Fall 2017
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Alternative Investments.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Just a One-Trick Pony? An Analysis of CTA Risk and Return
(Your Name) has sent you a message from The Journal of Alternative Investments
(Your Name) thought you would like to see the The Journal of Alternative Investments web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Just a One-Trick Pony? An Analysis of CTA Risk and Return
Jason Foran, Mark C. Hutchinson, David F. McCarthy, John O’Brien
The Journal of Alternative Investments Sep 2017, 20 (2) 8-26; DOI: 10.3905/jai.2017.20.2.008

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Just a One-Trick Pony? An Analysis of CTA Risk and Return
Jason Foran, Mark C. Hutchinson, David F. McCarthy, John O’Brien
The Journal of Alternative Investments Sep 2017, 20 (2) 8-26; DOI: 10.3905/jai.2017.20.2.008
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • LITERATURE REVIEW
    • DATA AND SAMPLE
    • ALTERNATIVE RISK PREMIUMS
    • METHODOLOGY
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • A Modified Hierarchical Risk Parity Framework for Portfolio Management
  • The Impact of Performance Fees on Multi-Manager CTA Portfolios
  • Testing Futures Trading Strategy Assumptions
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 13 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1520-3255 | E-ISSN: 2168-8435

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies