Change risk of commodity trading advisor

• Main Authors: Sheng-Yu Tsai, 蔡勝宇
• Other Authors: Ruei_Lin Lee
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/49527214076373659277

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 101 === This study aimed to explore risk change of the commodity trading advisor (or managed futures funds, CTA). In this study, monthly CTA is obtained from Barclays hedge fund database, with a total of 1,241 samples and 27,672 observations. In this study we use both total risk and tracking error risk of CTA as risk measures with rolling window of 3, 6, and 9 months to examine whether changes in total risks (tracking error risks) result from being either intentional or mean reverting. The sample period is from January 2000 to May 2012. Our findings show that changes in both total risks and tracking error risks result from mean reversion. In addition, this study investigates the effects of the performance on changes in total risks and tracking error risk respectively. Our findings show that shot-term past performance are positively related to changes in total risks and tracking error risks while medium and long-term past performance negatively relates to changes in total risks and tracking error risks.In other words, it suggests of intention for short-term period but mean reverting for medium and long-term periods. Finally, we further discuss changes in total risks (tracking error risk) individually, and find mean reverting in most of them but intentional in several of them.