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Same same but different – Stylized facts of CTA sub strategies

Erdős, Péter; Li, Youwei; Liu, Ruipeng; Mende, Alexander

Authors

Péter Erdős

Ruipeng Liu

Alexander Mende



Abstract

Using a unique dataset of daily returns of 89 programmes of Commodity Trading Advisors (CTA), 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.

Citation

Erdős, P., Li, Y., Liu, R., & Mende, A. (2021). Same same but different – Stylized facts of CTA sub strategies. International review of financial analysis, 74, Article 101657. https://doi.org/10.1016/j.irfa.2021.101657

Journal Article Type Article
Acceptance Date Dec 30, 2020
Online Publication Date Jan 31, 2021
Publication Date Mar 1, 2021
Deposit Date Feb 1, 2021
Publicly Available Date Mar 29, 2024
Journal International Review of Financial Analysis
Print ISSN 1057-5219
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 74
Article Number 101657
DOI https://doi.org/10.1016/j.irfa.2021.101657
Keywords Commodity Trading Advisors; Trend following; Fundamental strategy; Contrarian strategy; Stylized facts
Public URL https://hull-repository.worktribe.com/output/3709128
Publisher URL https://www.sciencedirect.com/science/article/abs/pii/S1057521921000016?via%3Dihub

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