@article {Molyboga61, author = {Marat Molyboga and Seungho Baek and John F.O. Bilson}, title = {CTA Performance Persistence: 1994{\textendash}2010 }, volume = {16}, number = {4}, pages = {61--70}, year = {2014}, doi = {10.3905/jai.2014.16.4.061}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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}, issn = {1520-3255}, URL = {https://jai.pm-research.com/content/16/4/61}, eprint = {https://jai.pm-research.com/content/16/4/61.full.pdf}, journal = {The Journal of Alternative Investments} }