The Predictability of Commodity Trading Advisor Returns
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Publisher:Ohio State University. Department of Agricultural, Environmental, and Development Economics
Series/Report no.:Ohio State University. Department of Agricultural Economics and Rural Sociology. ESO (Economics and Sociology Occasional Paper). No. 1919
This study investigates the performance and predictability of returns generated by advisors to Commodity Trading Funds from 1979 through 1989. Rates of return and Sharpe Ratios show evidence of predictability from one year to the next for all Commodity Trading Advisors (CTAs). Returns for the top one-third and top 5 performing CTAs show more predictability than for all CTAs.