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

Practical Applications of Testing Futures Trading Strategy Assumptions

Mark C. Hutchinson and John O’Brien
The Journal of Alternative Investments 22 (Supplement) 1-5; DOI: https://doi.org/10.3905/jai.22.s1.013
Mark C. Hutchinson
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
John O’Brien
  • 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

Practical Applications Summary

In Testing Futures Trading Strategy Assumptions, from the the Fall 2019 issue of The Journal of Alternative Investments, Mark C. Hutchinson and John O’Brien (both of the Cork University Business School, University College, Cork) investigate the robustness of common assumptions made in studies of commodity trading advisor (CTA) performance. Two factors motivate their inquiry: The first is an increasing interest in performance studies of these futures-based trading strategies. The second is that existing skepticism in reported high risk-adjusted CTA returns is attributed to faulty assumptions underlying prior studies, and that such assumptions produced overstated performance.

The authors examined (1) the appropriateness of using synthetic futures as a proxy for CTA strategy returns, and (2) the reasonableness of typical assumptions about transaction costs, management fees, and incentive fees. They found that strategy returns using synthetic futures were highly correlated with those based on the corresponding exchange-traded instruments. Transaction costs vary across asset classes. Both transaction costs and management fees have declined over time. In general, the authors found that assumptions that account for these differences in transaction costs over time were realistic approximations of the true costs.

TOPICS: Futures and forward contracts, commodities, performance measurement

  • © 2019 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: 22 (Supplement)
The Journal of Alternative Investments
Vol. 22, Issue Supplement
31 Jul 2019
  • 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.
Practical Applications of Testing Futures Trading Strategy Assumptions
(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
Practical Applications of Testing Futures Trading Strategy Assumptions
Mark C. Hutchinson, John O’Brien
The Journal of Alternative Investments Jul 2019, 22 (Supplement) 1-5; DOI: 10.3905/jai.22.s1.013

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
Practical Applications of Testing Futures Trading Strategy Assumptions
Mark C. Hutchinson, John O’Brien
The Journal of Alternative Investments Jul 2019, 22 (Supplement) 1-5; DOI: 10.3905/jai.22.s1.013
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
    • Practical Applications Summary
    • Key Takeaways
    • Key Definitions
    • Discussion
    • CENTRAL ISSUE
    • APPROACH
    • RESULTS
    • Mark C. Hutchinson
    • John O’Brien
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • 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