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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 …
Save Cite Cited by 39 Related articles All 3 versions
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 …
Save Cite Cited by 7 Related articles All 12 versions
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 …
Save Cite Cited by 71 Related articles All 4 versions
Benefits and limitations of diversification among commodity trading advisors
RS Billingsley, DM 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, …
Save Cite Cited by 119 Related articles All 4 versions
[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…
Save Cite Cited by 8 Related articles All 2 versions
[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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Common Denominators in the Commodity Trading Advisor and Managed Futures Industry: A Survey Report
HY Chen, T Sachs, RLK 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 …
Save Cite Cited by 1 Related articles All 4 versions
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 (…
Save Cite Cited by 20 Related articles All 8 versions
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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