CORPORATE FINANCE
Commodity Trading Advisors (CTAs): When do the money machines fail?

Commodity Trading Advisors (CTAs): When do the money machines fail?

Dr. Jan ViebigCFA / Dr. Philipp Kallerhoff / Dr. Martin TschunkoCFA

This paper examines the risk and return characteristics of a large universe of individual commodity trading advisors (CTAs). We find that the performance of CTAs often breaks down in high frequency / high volatility regimes. Analyzing the relationships between market volatility, frequency, autocorrelation and the failure of CTAs, we provide two different but consistent explanations why CTAs suffer unusually high losses in high frequency / high volatility regimes. A mismatch between the time-varying frequency of the market and the length of the lookback periods of trend-following systems is the main reason why trend-following strategies often fail in high frequency / high volatility regimes.

In dem Beitrag werden die Risiko- und Renditeeigenschaften von Commodity Trading Advisors (CTAs) analysiert, einer in der Praxis weitverbreiteten Hedgefonds-Strategie. Während CTAs typischerweise eine geringe Korrelation mit