Survivor bias in commodity trading advisor performance

Article Abstract:

The differential risk/return performance of survivor and nonsurvivor commodity trading advisor (CTA) subsamples was made, which found a dissolution rate of approximately 10% annually. This suggests that the average nonsurviving CTA had annualized returns of -27%, which is consistent with the performance of nonsurviving public commodity funds as measured by earlier studies. The variance of nonsurviving CTA returns was also found to be higher than that of surviving CTA returns.

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Informational content in historical CTA performance

Article Abstract:

An analysis of the use of Commodities Trading Advisor (CTA) performance returns in forecasting future returns in public commodity funds reveals that its use may provide an upward bias estimate. The study reveals that the amount of bias is dependent on the form of CTA selection and risk and return persistence measurements. Investors can compare returns and adjust for biases thereby being of use in predicting futures risks and returns.

Investment Offices, Investment Companies, Open-End Investment Funds, Analysis, Management, Services, Hedging (Finance), Mutual fund industry, Commodity exchanges, Commodity funds

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