Same same but different – Stylized facts of CTA sub strategies

Péter Erdős, Youwei Li, Ruipeng Liu and Alexander Mende ()

International Review of Financial Analysis, 2021, vol. 74, issue C

Abstract: Using a unique dataset of daily returns of 89 programmes of Commodity Trading Advisors (CTAs), we investigate the distributional properties of CTA strategies including trend following, fundamental and contrarian strategies. We find that daily data exhibits strong features of fat-tail, volatility clustering, and long memory in volatility. This is different from previous studies which are often based on monthly data. Our study contributes to the literature of stylized facts of financial markets, it also provides insights to practitioners because the information from monthly data might be misleading.

Keywords: Commodity trading advisors; Trend following; Fundamental strategy; Contrarian strategy; Stylized facts (search for similar items in EconPapers)
JEL-codes: C58 G14 G23 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000016

DOI: 10.1016/j.irfa.2021.101657

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