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The performance of Us-based CTA funds from 2000 to 2010
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Resumo(s)
CTA funds are attracting more and more investors every year due to the alleged superior skills of the CTAs allowing significant out-performance. But there is still a lack of study on their performances and their persistence. The literature uses the new model from Blocher, Cooper and Molyboga (2016) in order to analyse the performances of c.500 US-based CTA funds during an 11-year period. Following these analyses, it was discovered that these funds were truly able to deliver in average significant superior performance but the lack of persistence makes doubtful the existence of superior skills from the CTA managers allowing out-performance
Descrição
Palavras-chave
CTA Active management Performance Persistence