RT Journal Article
SR Electronic
T1 CTA Performance Persistence: <em>1994–2010</em>
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 61
OP 70
DO 10.3905/jai.2014.16.4.061
VO 16
IS 4
A1 Molyboga, Marat
A1 Baek, Seungho
A1 Bilson, John F.O.
YR 2014
UL http://jai.pm-research.com/content/16/4/61.abstract
AB This article tests the performance persistence hypothesis for Commodity Trading Advisors (CTAs), considering the impact of incubation and backfill bias. The authors apply the Fama-MacBeth approach and quintile analysis, and conclude that ranking CTAs using the t-statistic of alpha with respect to a CTA benchmark is predictive of future returns. The authors provide evidence that the identified strong persistence of the best-performing funds may be driven solely by the incubation and backfill biases. They find that the worst-performing funds have a higher probability of liquidation than those of the other quintiles, and the top-performing funds have a higher conditional probability of staying top performers versus becoming worst performers than that of the worst performing funds.