Same same but different – Stylized facts of CTA sub strategies

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

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: Aug 1, 2022
• 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