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CTA ( Commodity Trading Advisor Publications)

A benchmark for commodity trading advisor performance

RB Spurgin - The Journal of Alternative Investments, 1999 - jai.pm-research.com

… tain commodity trading advisors CTAs . Benchmarks are used for three main purposes…
trading days is used to estimate volatility. The equation for the volatility of an individual commodity …

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[PDF] smu.edu.sg

Knowledge-driven autonomous commodity trading advisor

YP Lim, SF Cheng - … on Web Intelligence and Intelligent Agent …, 2012 - ieeexplore.ieee.org

… that would help human commodity traders making right … a platform for supporting commodity
trading operations that is … oil (one important agriculture commodity that can be used for …

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Survivor bias in commodity trading advisor performance

T Schneeweis, R Spurgin… - The Journal of Futures …, 1996 - search.proquest.com

… Results of previous research on public commodity funds may not, however, … commodity
trading advisors (CTAs) or portfolios of CTAs. First, not all CTAs participate in public commodity …

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Benefits and limitations of diversification among commodity trading advisors

RS BillingsleyDM Chance - Journal of Portfolio Management, 1996 - search.proquest.com

… several indexes of futures trading. Managed Account Reports … commodity funds and private
pools, and the Trading Advisor … returns from the Trading Advisor Index." That is not practical, …

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[PDF] joim.com

[PDF] Multiple time scale attribution for commodity trading advisor (CTA) funds

B Hayes - Journal of Investment Management, 2011 - joim.com

Commodity trading advisors (CTAs) make directional investments in liquid futures and forward
markets. Since CTAs generally do not engage in security selection or relative value trades…

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[PDF] core.ac.uk

[PDF] The Predictability of Commodity Trading Advisor Returns

BW Ward, SH Irwin, CR Zulauf - 1991 - core.ac.uk

… In this capacity, the market advisory service, formally referred to as a Commodity Trading
Advisor (CTA), is responsible for marketing and executing all futures trading decisions. …

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[PDF] researchgate.net

Common Denominators in the Commodity Trading Advisor and Managed Futures Industry: A Survey Report

HY Chen, T SachsRLK Tiong - The Journal of Index Investing, 2014 - jii.pm-research.com

How do commodity trading advisors (CTAs) generate returns? Which markets do they trade?
How do they allocate risk, manage money, and what fees do they charge? We conducted …

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Commodity trading advisor survey: Adding equities to a managed futures portfolio

S Waksman - The Journal of Alternative Investments, 2000 - jai.pm-research.com

The roundtable discussion attempts to discuss some of the issues associated with applying
trend–following methodologies to equity trading. In this article, results from a recent Barclay …

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Evaluation of commodity trading advisors using fixed and variable and benchmark models

GN Gregoriou, Y Chen - Annals of Operations Research, 2006 - Springer

… futures markets through money managers called Commodity Trading Advisors (CTAs). In …
as a commodity trading advisor (CTA) with the Commodities Futures Trading Commission (…

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[PDF] clutejournals.com

Commodity trading advisor indexes and alpha generation relationships

S Mackey - Journal of Applied Business Research (JABR), 2014 - clutejournals.com

… This research investigates the trend following relationships between Commodity Trading
Advisor (CTA) Indexes and a widely known trend following proxy Index using a database …

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