Research into the Evaluation of the Performance Persistence of American Commodity Trading Adviser

• Main Authors: michael yuan-chung,hsih, 姒元忠
• Other Authors: y.c.,lu
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/88065012521544458820

碩士 === 銘傳大學 === 金融研究所碩士在職專班 === 90 === Research into the Evaluation of the Performance Persistence of American Commodity Trading Adviser ABSTRACT. The development of Taiwan futures market has been eight years since the Security and Futures Commission (SFC) passed the Foreign Futures Trading and the first legal Futures Commission Merchant (FCM) was founded in April 28th 1993. Recently, the Security and Futures Commission is ready to pass the business of Futures Service Industry－The Futures Trading Company and The Futures Investment Consultant; therefore, of interest is to give a measurable ranking of commodity trading adviser (CTA). Many previous works has primarily relied on the track of past records of CTA; however, we can not make sure where do CTA returns come from. Instead of records-track works, this paper is to understand whether the momentum strategy of CTA returns is profitable. In other words, the winner portfolio of today guarantees with profit in the near future. The study is based on the database of International Trader Research. The momentum effects testing of CTA returns shows the evidences as follows: (1) The winner portfolio of CTA today will not always continue in the near future. (2) For CTA market in American, the relatively strong or weak winner portfolio preceding reversal signals is easier profitable over the six-month formation period. (3) The annual return of American CTA is much better in comparison with the Index benchmark of the S&P 500 stock index and the Lehman Brother Bond index. It reveals that Managed Futures will be one of the new trading tools for investors in the near future. Keywords. Commodity Trading Adviser, Managed Futures, Performance persistence, Momentum strategy, Contarian strategy