| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14424 |
| 来源ID | Working Paper 14424 |
| Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors | |
| Geetesh Bhardwaj; Gary B. Gorton; K. Geert Rouwenhorst | |
| 发表日期 | 2008-10-21 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | Investors face significant barriers in evaluating the performance of hedge funds and commodity trading advisors (CTAs). The only available performance data comes from voluntary reporting to private companies. Funds have incentives to strategically report to these companies, causing these data sets to be severely biased. And, because hedge funds use nonlinear, state-dependent, leveraged strategies, it has proven difficult to determine whether they add value relative to benchmarks. We focus on commodity trading advisors, a subset of hedge funds, and show that during the period 1994-2007 CTA excess returns to investors (i.e., net of fees) averaged 85 basis points per annum over US T-bills, which is insignificantly different from zero. We estimate that CTAs on average earned gross excess returns (i.e., before fees) of 5.4%, which implies that funds captured most of their performance through charging fees. Yet, even before fees we find that CTAs display no alpha relative to simple futures strategies that are in the public domain. We argue that CTAs appear to persist as an asset class despite their poor performance, because they face no market discipline based on credible information. Our evidence suggests that investors' experience of poor performance is not common knowledge. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w14424 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572099 |
| 推荐引用方式 GB/T 7714 | Geetesh Bhardwaj,Gary B. Gorton,K. Geert Rouwenhorst. Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14424.pdf（253KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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