PT  - JOURNAL ARTICLE
AU  - Marat Molyboga
AU  - Seungho Baek
AU  - John F.O. Bilson
TI  - CTA Performance Persistence: <em>1994–2010</em>
AID  - 10.3905/jai.2014.16.4.061
DP  - 2014 Mar 31
TA  - The Journal of Alternative Investments
PG  - 61--70
VI  - 16
IP  - 4
4099  - https://pm-research.com/content/16/4/61.short
4100  - https://pm-research.com/content/16/4/61.full
AB  - This article tests the performance persistence hypothesis for Commodity Trading Advisors (CTAs), considering the impact of incubation and backfill bias. The authors apply the Fama-MacBeth approach and quintile analysis, and conclude that ranking CTAs using the t-statistic of alpha with respect to a CTA benchmark is predictive of future returns. The authors provide evidence that the identified strong persistence of the best-performing funds may be driven solely by the incubation and backfill biases. They find that the worst-performing funds have a higher probability of liquidation than those of the other quintiles, and the top-performing funds have a higher conditional probability of staying top performers versus becoming worst performers than that of the worst performing funds.TOPICS: Commodities, futures and forward contracts, statistical methods, performance measurement