Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors

• 成果类型: Article
• 署名作者: Bhardwaj, Geetesh; Gorton, Gary B.; Rouwenhorst, K. Geert
• 署名单位: Yale University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu040
• 发表日期: 2014
• 页码: 3099
• 关键词: HEDGE FUNDS; MOMENTUM STRATEGIES; futures; RISK; returns; MARKETS; INFORMATION; indexes; prices; biases

摘要

Investors face significant barriers in evaluating the performance of investment advisors. We focus on commodity trading advisors (CTAs) and show that from 1994 to 2012, CTA excess returns to investors (i.e., net of fees) were insignificantly different from zero while gross excess returns (i.e., before fees) were 6.1%, which implies that managers captured the performance in fees. Moreover, we find that CTAs display no alpha relative to simple future strategies in the public domain. Our results have implications for all hedge fund studies in that we find the typical adjustments for biases in the hedge fund databases still leave upward bias in fund performance.