| Summary: | 碩士 === 國立中興大學 === 統計學研究所 === 99 === In this article, we will examine the performance of monthly returns of the Commodity Trading Advisors Funds. The data is from the database of the Hedge Fund Research and the sample period is from Jul 1994 to Jun 2010. We apply k-familywise error rate (Romano et al., 2008) on stepwise reality check (Romano and Wolf, 2005) and stepwise superior predict ability test (Hsu et al., 2010) to examine the performances. In the procedure, three different factors models are used as benchmark models. Lastly, compare the test power and the performance between stepwise reality check and stepwise superior predict ability test by k-familywise error rate.
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