CAHIER DE RECHERCHE / WORKING PAPER

Performance and persistence of Commodity Trading

Advisors: Parametric Evidence
Greg Gregoriou, Georges Hübner, Maher Kooli

September 06 / N° 200609/01
 Performance and persistence of Commodity Trading Advisors:
Parametric Evidence

Greg N. Gregoriou

Georges Hübner

Maher Kooli

September 2006 version

JEL Classification: G2, G11, G15

Keywords: CTA; Performance persistence; Multifactor models; managed futures

Greg N. Gregoriou is Associate Professor of Finance at State University of New York (Plattsburgh), 101 Broad Street,
Plattsburgh, New York 12901, E-mail: gregorg@plattsburgh.edu, Tel: (518)564-4202; Fax: (518) 564-4215.
Georges Hübner is the Deloitte Professor of Financial Management at HEC Management School – University of Liège,
Liège, Bld du Rectorat 7, B31, 4000 Liège, Belgium, E-mail: G.Hubner@ulg.ac.be. Tel : (32) 43662765.Fax: (32)
43662767; Associate Professor of Finance at the University of Maastricht; Senior Researcher at the Luxembourg
School of Finance, University of Luxembourg, and Affiliate Professor of Finance at EDHEC..
Maher Kooli is Assistant Professor of Finance at University of Quebec at Montreal, School of Business and
Management, Montreal, Quebec, P.O Box 8888, Station (Centre-Ville), H3C 3P8, E-mail, kooli,maher@uqam.ca. Tel:
(514) 987-3000 ext. 2082. Fax: (514) 987-0422
 Performance and persistence of Commodity Trading Advisors:
Parametric Evidence

Abstract

We re-examine the performance of Commodity Trading Advisors (CTAs) using a parametric

calendar time approach during the 1996-2005 period. We compare abnormal performance based on
a number of alternative existing models, as well as a category-specific model introducing asset-,
option- and moments-based factors. Taking more factors into account significantly raises the
explanatory power, but only four out of 7 CTA categories significantly outperform the market. We
find that numerous CTAs show persistence over a horizon of at least three months and they also
more likely to be persistent over a longer period. Yet, most of the persistence fades away upon the
“acid test” of considering only the top and bottom quartiles of the managers.

2
 Performance and persistence of Commodity Trading Advisors:
Parametric Evidence

1. Introduction

For individual or institutional investors that are both simultaneously performance-oriented

and risk-conscious, the main question is how best to achieve a higher overall rate of return with

acceptable level of risk. The answer could be a diversified investment portfolio with a certain

portion of the total assets allocated to alternative investments, more specifically managed futures.

A Commodity Trading Advisors (CTAs) is any money manager that accepts compensation for

advising clients on either buying or selling commodity futures, forwards, options deemed as

managed futures contracts. Managed futures provide access to investment not easily available

through traditional stock and bonds and they have witnessed a dramatic increase in assets during the

last decade. For instance, Managed Accounts Reports (MAR) cites an increase in managed futures1

from less than $1 billion in 1980 to almost $131 billion in 2004 (Schneeweis, 2005). However,

there is still some confusion about the performance of managed futures as the number of CTAs has

grown during this period.

When using the composite performance of 15 trading advisors, Lintner (1983) shows that

the risk-return ratio is greater than a well-diversified stock and bond portfolio. Furthermore, the

author finds a low correlation between the returns of trading advisors and those of stocks, bonds, or

a combined stock/bond investment portfolio. It is well-known that CTA returns produce negative

correlation to stock and bond market indices. In addition, Schneeweis and Spurgin (1997) show

that various CTA and hedge-fund-energy-based investment provide risk and return opportunities

not available from a wide range of traditional commodity investments or real estate investments.
1
The term managed futures describes an industry made up of professional money managers known as commodity
trading advisors (CTA). These trading advisors managed client assets on a discretionary basis using global futures
markets as an investment medium.

3
 During the one of the strongest stock market periods in U.S. history (1980-2005) managed

futures (as measured by the Barclay CTA Index) had a compound annual return of about 12.76%

comparing favorably with the 13.24% return the S&P 500 index produced during the same period.

The Barclay CTA index exceeded the Smith-Barney U.S. Government Bond Index and returned

8.48% during the same period. Moreover, during the 1980-2005 time frame, analysis shows that a

portfolio comprised of a partial allocation to managed futures had similar profitability with far less

risk. Therefore, CTA can be considered as good hedging instruments in down markets for hedge

funds, fund of funds, and the equity markets (Liang, 2003).

Numerous academic studies during the last 20 years have examined the performance of

managed futures with mixed results and with the lack of consensus. Using regression analysis, this

study investigates the performance persistence issue as a well during both bull and bear market

periods. We aim at providing a comprehensive set of evidence as to whether CTAs can truly add

value and sustain their performance. Since the attrition rate of CTAs is typically higher than mutual

funds it is an important subject to analyze during both the short and long-term periods.

A multi-period time frame analysis differentiates between performance persistence due to

luck and due to managerial skill. We assess and differentiate the results from a multi-period

framework with the results from the conventional two-period analysis. Moreover, we provide a set

of new “acid tests” on persistence by considering the ability of CTA managers to sustain

performance over different horizons and with different ranking schemes. The procedure enables us

to considerably deepen our insights over the durability of CTA performance per categories.

With this approach, never previously used for CTAs, we shed new light on previous studies

on CTA performance (see for example, Elton, Gruber and Rentzler, 1987; Liang, 2003) who

conclude that investors cannot select top performing funds using historical performance.

4
 The rest of the paper is organized as follows. Section 2 is the literature review. Section 3

sets out the data and the performance models considered. Section 4 brings some insights on CTA

performance and reports the main results. Section 5 concludes the paper.

2. Literature review

While examining the benefits of managed funds, Schneeweis and Georgiev (2002)

demonstrate that CTAs reduce portfolio volatility risk and enhance portfolio returns in most

economic environments where stock and bond offer limited opportunities. However, these authors

sustain that for managed futures to grow as an investment alternative class, investors need to

increase their knowledge and comfort level as to the use of managed futures in their investment

portfolios.

Irwin, Zulauf and Ward (1992a) study 363 CTAs during the 1979-1989 period and find that

there is a lack of performance persistence when the authors looked at past CTA returns to predict

future returns. Irwin, Krukemeyer, and Zulauf (1992b) examine commodity pools during the 1979-

1990 period and use quintiles to separate CTAs but the results are not robust. Irwin et al. (1994)

focus on individual CTAs, and their results concur with the previous findings of little evidence of

predictability in average CTA returns.

In an early study McCarthy, Schneeweis and Spurgin (1996) find some performance

persistence. However; their sample size of CTAs used is relatively small with 56 CTAs using the

1985-1991 time frame. The same authors observe that multi-advisor managed futures funds have

more persistence than single advisor CTAs (McCarthy, Schneeweis and Spurgin, 1997). Brorsen

(1998) investigates data from private and public funds, and CTAs using various statistical methods

such as regression analysis, Monte Carlo methods, and out-of-sample tests and finds that there

exists limited evidence of performance persistence. The main drawback of the above studies is the

5
short examination period during a bull market, not encompassing any sustained bear market

environment.

One of the pioneering studies on managed futures by Elton, Gruber and Rentzler (1990) use

152 commodity pools during the 1990-1998 period to examine the performance issue. The authors

find no evidence of performance and suggest that management fees and transaction costs must be

reduced for commodity investments to be more appealing. Brown, Goetzmann and Park (1999) find

no persistence in CTA returns using a non-parametric approach during the 1989-1998 period

confirming the results of Edwards and Caglayan (2001). These authors, using Managed Account

Reports data on 2,345 commodity funds during the January 1990 to August 1998 period, find no

support regarding performance persistence either. However, using regression analysis may offer

some more robust results than non-parametric analysis.

Diz (1996) used 925 managed futures programs from the Barclay CTA database during the

1975-1995 and concludes that survival of CTAs is connected to performance but performance is not

essentially linked with survival. Fung and Hsieh (1997) use 901 private CTA funds during the

1989-1996 period and find that the survivorship bias is 3.4% per year implying that CTA returns of

live funds are on average 3.4% higher than the returns of both live and dead funds.

Brorsen and Townsend (2003) use the 1990-1999 period and find a small amount of

performance persistence using regression analysis. More recently, Capocci (2004) investigates the

long-term performance persistence of live and dissolved CTAs by combining three databases, (1) the

Barclay Trading Group (2) TASS and (3) Managed Account Reports during the 1985-2002 period

(throughout both bull and bear markets) while encompassing numerous extreme market events. To

examine the performance issue, the author ranks CTA strategies in deciles and finds that out of 11

strategies only 7 significantly outperform the CTA Global Index. In terms of performance

persistence a large majority of deciles underperforms the CTA Global Index during the entire period.

6
However, sub-period analysis reveals that only one decile appears to outperform the CTA Global

Index. Furthermore, the low significance level of his regressions does not lend strong economic

support to his results;

Financial research has further suggested that managed futures provide positive skewness and

lower kurtosis when included with hedge funds in a traditional investment portfolio (Kat, 2005).

Although managed futures are considered high risk investments, indices such as the S&P 500 have

produced higher volatility than the Center for International Securities and Derivatives Markets

(CISDM) CTA index during the 1990-2004 period. Yet, when managed futures are coupled with

hedge funds, stocks and bonds, they are usually claimed to enhance the overall portfolio

performance, provide instant diversification and reduce risk.

Liang (2003) uses the Zurich database and examines 294 live CTAs and 1,216 defunct

CTAs and concludes that they underperform hedge funds and funds of hedge funds due to their

management fees, higher attrition rates and survivorship bias.

To our knowledge, no comprehensive analysis of CTA performance and persistence using a

similar approach to ours has been carried out so far. This is probably due to the fact that regression

methods that have been tested so far have hardly produced any satisfactory significance levels. This

has probably precluded the safe run of performance persistence analysis using in a multi-period

framework.

3. Data and method

3.1 Data

The data set consists of 527 live and 1290 dead CTAs that reported monthly performance

figures net of all fees to the Barclay Group database during the period January 1996 to December

2005, a total of 123 months. We select this time frame because previous studies examining the

7
performance of CTAs are during the bull market period (pre-1999). Because of their negative

correlations, CTAs perform poorly in bull markets. To ratify this we use both the bull and bear

market periods to properly determine how CTAs perform in these types of markets. Our study is the

first to include the bear market starting with the bursting of the tech bubble in the Spring of 2000.

When database vendor’s backfill CTA returns, data is upwardly biased and that this type of

bias can add a yearly return of 1.4% (Fung and Hsieh, 2000). We remove CTAs born prior to

January 1996 to eliminate backfill bias, and omit CTAs with missing classifications and no

covariate data. In this paper, CTAs enter the Barclay database and remain alive until they stop

reporting results for three consecutive months, at which time they are considered defunct and

removed. They can, however, re-enter the database and backfill their unreported data.

To qualify for inclusion in the database, a CTA must have at least four years of preceding

historical performance. New programs introduced by CTAs are only added after the second year to

the Barclay database. These limitations are enforced to compensate for the high turnover rates of

CTAs because of their high short-term performance to guarantee precise and consistency of the

Barclay database.

Each of the seven CTA classifications is examined to obtain more informative and precise

results, which would be beneficial to money managers and investors in terms of performance. The

definitions of the classifications are presented in Table 1. Discretionary and systematic are trading

styles, whereas the other classifications are usually considered as portfolios of options and futures.
***
Insert Table 1 about here***

3.2. Methods

Following Fama and French (1993), we choose the value-weighted portfolio of all NYSE, Amex

and NASDAQ stocks as a market index. We also consider using the Russell 3000 index as well.

8
The comparison of descriptive statistics of the two indices suggests that both market proxies are

very similar. Thus, the results of the study should not be influenced by the market proxy chosen.

We use the 1-month U.S. T-bill rate from Ibbotson Associates as the risk-free rate.

3.2.1 Traditional Models

In the alternative investments literature, typically multifactor models have been preferred over the

well-known CAPM for performance evaluation, but there is no universally accepted model. In this

paper, we use several specifications in order to compare our results. We start with the market model

derived from the CAPM. It provides a simple benchmark to assess the gains in significance levels

obtained with more sophisticated specifications.

Market model: Assume that CTA returns follow the one-factor return generating process,

Rjt =αj+βjRMt+εjt (1)

where Rjt is the rate of return of the CTA j on month t; RMt is the rate of return of a market index on

month t; εjt is the error term.

The Fama and French (1993) three-factor model2: It takes the size and the book-to-market ratio of

the firms into account and is estimated from the following extension of the CAPM regression

Rjt−RFt=αj + βj1(RMt−RFt) + βj2SMBt + βj3HMLt + ε jt (2)

where SMBt=the factor-mimicking portfolio for size (small minus big) and HMLt=the factor-

mimicking portfolio for book-to-market equity (high minus low).

2
See Fama and French (1993) for a complete description of the factor returns.

9
The Fama and French (1993) model with Ibbotson’s (1975) “Returns Across Time and Securities”

(RATS) procedure: The RATS technique allows the estimate of beta to vary during returns window.

In other words, it presumes that the betas of the portfolio should vary over time as new information

becomes readily available.

The Fama and French (1993) model with RATS procedure provides:

Rjt−RFt=αj + βj1t(RMt−RFt) + βj2SMBt + βj3HMLt + jt (3)

3.2.2 Adapted Models

Unlike previous studies, rather than considering a general multifactor model for all CTA categories,

we use a more rigorous approach that takes into account the many dimensions of financial risk

inherent to CTA. More specifically, using a large set of potential variables, including moment

factors and options factors, we choose first a subset of significant variables for each CTA category

through a stepwise regression procedure. We calculate then the performance for each CTA category

using a calendar time approach discussed later. To the best of our knowledge this the first global

study that considers a specific model for each CTA category.

The exposure of CTA returns to non-linear risk factors has been largely documented in the

recent literature (see Martellini and Vaissié, 2004). Liang (2004) applies the equity-based option

factors developed by Agarwal and Naik (2004) to a sample of CTAs and finds superior significance

levels for this class of securities than for hedge funds or funds of funds, with an increase in adjusted

R-square of 20.29% for the CTA index. On the other hand, the pervasive positive skewness and

excess kurtosis of CTA strategies that makes them useful diversification tools (Kat, 2004) also

explains their significant loading to the square and cube of market returns as shown by Hübner and

Papageorgiou (2004).

10
 We select eight financial indexes on which option-based factors are constructed: three

exchange rates (USD/Yen, USD/Euro3, and USD/UK Pound Sterling), two interest rate indexes

(Lehman High Yield Bond index and the Lehman US Treasury LT Bond Index), and three

commodity indexes (GSCI Wheat, Gold and Crude Oil Indexes). We do not include an equity-based

option as it overlaps with the higher moments variables constructed below. For each index, we

compute the Black-Scholes (B-S) price of four six-week options (ATM Call and Put, and 5% OTM

Call and Put) on a monthly basis. We use a rolling estimate of the 12-month volatility as input. At

the end of the month, we compute the realized return with the new B-S price of the option.

To account for the likelihood that most CTAs follow non-directional strategies, we

complement this set of options with the corresponding long ATM straddles and OTM strangles

constructed with the samples of calls and put. Even though these portfolios are less complex than

the ones proposed by Fung and Hsieh (2001) in the context of hedge funds, they have the advantage

of reasonably replicating simple trading strategies.

Amongst the modeling approaches that aim at integrating moments of order three

(skewness) and four (kurtosis) into the asset pricing model, we have to select a method that

produces a tradable index. We adopt an approach advocated by Harvey and Siddique (2001), who

suggest building these variables in the same way as the SMB and HML variables of Fama and

French (1993), with stocks ranked on the basis of their coskewness with the stock index. We

simplify this procedure by collecting the S&P sub-industry indices from July 1994 to 2005 as raw

data (123 indices), and computing the lagged 12-month variance, and 6-month skewness and

kurtosis.4 Then, for each month, we rank the indexes in turn by their variance, skewness and

3
Prior to the freezing of parities, we take the USD/German Mark.
4
Our data show that variance shocks exhibit a longer memory than skewness or kurtosis shocks, and so the variance has
to be computed on a longer time interval.

11
kurtosis and compute the corresponding risk premia by taking the difference between the top and

bottom third selected (67th percentile minus 33rd percentile).

We also include Carhart’s (1997) momentum risk premium.5 Consistently with its original

interpretation, this factor is able to capture some persistence in the stock returns and does not

overlap with the moment and option factors.6

3.2.3 Performance estimation

We employ the calendar-time method developed by Jaffe (1974) and Mandelker (1974)

which controls for cross-correlation. Lyon et al. (1999) show that the calendar time approach yields

well specified test statistics, because it entails calculating average returns of rolling, calendar-time

portfolios of event funds. Specifically, for each calendar month, we form an equally weighted τ-

month portfolios set up to include any CTA strategy which has a return during the previous τ-

months, for τ = 12, 24, and 36. The calendar time approach has the additional advantage that it

provides a direct measure of the opportunities available to investors attempting to exploit any

abnormal performance.

For each model specification, we define the out-or under-performance relative to the market

proxy used (i.e., the abnormal return) for the fund on month t as:

K
Ajt = Rjt − ∑ β̂ kt Fkt t =1,2,…,T (4)
k =1

where Fkt represents the k-th factor in the regression.

The average abnormal return AARt is the sample mean:

5
See Carhart (1997) for a description of the construction of PR1YR.
6
We have considered other indices: the MSCI World Index excluding US, the return of the Salomon World
Government Bond Index, the return of the Goldman Sachs Commodity Index (GSCI), but the stepwise regression
procedure rejects all of them for each strategy. We have also tested Fama and French (1998) international value, JP
Morgan Emerging Market Bond Index, the term spread, implicit volatility, and currency factor)s. However, due to their
high collinearity with other factors, we decide to not test these indices further

12
 N

∑A
j =1
jt

AARt = (5)
N

Over an interval of two or more trading months beginning with month T1, and ending with T2, the

cumulative average abnormal return (CAAR) is:

N T2
1
CAAR(T1,T2) =
N
∑∑ A
j =1 T1
jt (6)

To test the null hypothesis that the mean abnormal return is equal to zero for a sample of n

CTAs, we first employ a cross-sectional t-statistic. The standard error for this test for each month is

computed across funds, not across time. To eliminate the skewness bias when long-run abnormal

returns are calculated, we also use the bootstrapped skewness-adjusted t-statistic.

4. Results

4.1 Basic performance

Table 2 reports means, standard deviations, medians Sharpe ratios, kurtosis and skewness, for the

seven CTA categories and the four factors based on monthly data for the 1996-2005 period. The

first part of Table 2 shows that the highest mean return was achieved by the Stock Index CTA

(1.46%) followed by the Energy CTA (1.00%). The Arbitrage CTA offers the lowest mean return

(0.34%). When standard deviation is taken into account through the Sharpe measure (the ratio of

excess return and standard deviation), results confirm our previous observations. CTA offering the

best trade-off between risk and return is the Index Stock CTA (0.49) and the worst Sharpe ratio is

obtained by the Arbitrage CTA (0.01), which is also the worst performing index when risk is not

taken into account. Table 2 also confirms the heterogeneity of CTA universe: some CTA categories

have relatively high volatility while other CTAs have lower volatility.

13
 When CTA data are contrasted against the descriptive statistics of the market proxy, the

Fama and French (1993) SML and HML, and Carhart (1997) momentum’s factor, the statistics are

in favor of the managed futures strategies. The mean return of the Market Proxy is 0.26% per month

(about 4.78% per year). The average SMB and HML returns are 0.29% and 0.46%, respectively.

The highest mean return was obtained by the Momentum factor (0.87% per month). On average, the

Sharpe ratio obtained by the seven CTA categories (0.23) is higher than the one for the Market

Proxy (-0.01).

***
Insert Table 2 about here***

Table 3 reports correlation coefficients among CTA categories. There is a high variability

between different categories, ranging from 0.83 (between Financial/ Metal CTA and Diversified

CTA) to -0.28 (between Diversified CTA and Arbitrage CTA). Only one correlation coefficient is

greater than 0.70 and six of them are negative.

***
Insert Table 3 about here***

Table 4 reports correlation coefficients between CTA categories and equity, bond and

commodity indices. Correlation coefficients between CTA categories and the Market Proxy are, in

seven cases, smaller than or equal to 0.39. Hence, the addition of CTAs to a traditional portfolio

should improve its mean-variance trade-off. Liang (2003) also finds that returns from CTAs are

negatively correlated with other instruments, making CTAs suitable for hedging against downside

risk.
***
Insert Table 4 about here***

4.2 Calendar time abnormal performance

14
 The discussion of performance models is performed for the whole 1996-2005 period. The

first performance model used is the CAPM-based single index model, taken as the benchmark to

assess the value-added of further improvements. Table 6 reports the results for the whole sample.

We estimate each CTA category (portfolio) individually using calendar time approach. In other

words, CTAs are grouped into portfolios by event date and by categories. A portfolio standard

deviation is estimated from the time series of portfolio abnormal returns in the estimation period,

and used to standardize the portfolio return.

Starting from 1996, we note that all CTA categories seem to significantly outperform the

market. In all cases, the alphas from CAPM (See Table 5) are significant at the 1% confidence

level. For example, after 3 years, the cumulative abnormal return for Energy CTA is 2.81% per

month (bootstrapped Skewness corrected t-statistic = 7.55).

***
Insert Table 5 about here***

In Table 6, we report the results for Fama and French (1993) three-factor model applied to

all CTA categories. Table 6 tends to confirm the seemingly superior performance of CTAs. The

positive and significant calendar time alphas range from a monthly percentage of 1.28% for Stock

Index CTA to 2.10% for Discretionary CTAs. The table also reveals that the premia on the SMB

and the HML factors are negative (except for HML factor for Energy CTAs). There are however

significant only for Systematic CTAs. Systematic CTA managers seem to prefer larger stocks and

those with low book-to-market ratios. The adjusted R2s range from 0.003 for Energy CTAs to 0.153

for Stock Index CTAs. As expected, the highest adjusted R2s are obtained when the alphas are the

lowest. However, these low adjusted R-squared coefficients confirm all outstanding evidence about

the powerlessness of most traditional asset pricing models.

***
Insert Table 6 about here***

15
 Table 7 reports the result of Fama and French (1993) three-factor model applied to all CTA

categories using RATS procedure for different calendar time periods. Again, we confirm that the all

CTA categories outperform the market for the 1996-2005 period.

***
Insert Table 7 about here***

Table 8 reports the results of the multi-factor model. In a strong contrast to previous results,

we find that taking more factors into account induces that only four out of seven CTA categories

significantly outperform the market and one out of seven has positive but insignificant excess

returns. The alphas of Arbitrage and Energy CTAs are negative but only significant for arbitrage

CTAs. Based on alpha, the best strategy is Diversified (alpha = 4.03% per month).

Interestingly, in only two out of seven CTA categories we retain the premium on the SMB

factor but it is statistically insignificant. Also in one category, the premium on the Momentum

factor is insignificantly negative, reflecting that CTAs are generally not arbitragers in the equity

markets. Overall, the most significant factors for CTAs are option factors. Although managers may

not trade in the option markets directly, their returns may show non-linear or option-like patterns

due to some long-short combinations. Our observation is consistent with Fung and Hsieh (1997b)

and Liang (2003) that CTAs exhibit option-like return patterns with respect to equity markets.

Our multifactor models results provide some insight into the preferences of CTA managers:

(1) we find that Energy, Financial/Metals, Diversified, and Stock Index CTAs managers invest in

gold (as a proxy for metals); (2) Energy, Discretionary, and Stock Index CTAs managers invest in

oil (as a proxy for fossil energy materials); (3) Diversified and Financial/ Metal CTAs managers

invest in wheat (as a proxy for comestibles); (4) Diversified, Arbitrage, and Systematic CTAs

managers invest in credit-risky bonds; (5) the best performing category (Diversified CTA) invest in

government and corporate bonds, currency, wheat, and gold.

16
 Overall, it seems that the multifactor models do a good job in explaining CTA behavior of

various categories. The average adjusted R2 increases from 0.06 for the Fama & French three-factor

model to 0.31 for the multifactor models (the adjusted R2s of the seven multifactor models range

from 0.07 to 0.49). But at the same time this means that although we can explain a substantial part

of the variation of CTA returns by the multifactor models, another, non-trivial part is still missing.

The set of explanatory variables considered seems particularly adapted to Diversified (0.49) and

Arbitrage (0.43) CTAs but does a poorer job with Discretionary CTA. However, we should mention

that our adjusted R2 are higher that those obtained by Liang (2003). He reports adjusted R2s from -

7.2% to 14.3%. Liang also concludes that CTAs are different from hedge funds or fund-of-funds in

trading strategies and those multifactor models have very low explanatory powers for CTAs.
***
Insert Table 8 about here***

Table 9 reports the same analysis of performance over different subperiods. First, we

subdivide the 1996-2005 period in two sub-periods of equal lengths (January 1, 1996-December 31,

2000 and January 1, 2001-December 31, 2005). Second, we consider the Asian crisis period. When

the time period is divided in two, we notice that the significant underperformance of Arbitrage CTA

for the 1996-2005 period is mainly due to the first sub-period. We also notice that Stock Index,

Diversified and Financial/Metal CTAs significantly outperform in both subperiods. Moreover,

during the Asian crisis, Energy and Stock Index CTAs took advantage of this period and earn

positive and significant excess return. Four CTAs categories outperform the market, though

insignificantly.
***
Insert Table 9 about here***

4.3 Relative performance persistence of CTAs.

17
 The second objective of this study is to examine the performance persistence of CTAs over

different time periods. We follow Brown, Goetzmann and Ibbotson (1999) and Agarwal and Naik

(2002) and compare the performance measures in the current period on the performance measures

in the previous period. We rely on alpha as a performance measure, defined as the return of a CTA

following a particular strategy minus the average return for all CTAs following the same strategy.

Moreover, to investigate the issue of persistence in two consecutive periods, we rely on a non-

parametric method. More specifically, we construct a contingency table of winners and losers. A

CTA fund is a winner if the alpha of that fund is greater than the median alpha of all the CTA funds

following the same strategy in that period otherwise it is a loser. In this context, persistence refers to

the existence of CTA funds that are winners in two consecutive periods (one month, three months,

six months, and twelve months periods), denoted by WW, or losers in two consecutive periods,

denoted by LL. Similarly, winners in the first period and losers in the second period are denoted

WL and LW denote the reverse.

In this paper, we use both cross-product ratio (CPR) and Chi-square statistic to detect

persistence. The CPR test statistic is the ratio of the product of repeat winners (WW) and repeat

losers (LL) divided by the product of winner-losers (WL) and loser-winners (LW), i.e.

(WW×LL)/(LW×WL). A CPR of one would support the hypothesis that the performance in one

period is unrelated to that in another. A CPR greater than one indicates persistence, while a value

below one indicates that reversals in performance dominate the sample. We determine the statistical

significance of the CPR by using the standard error of the natural logarithm of the CPR is given by

(see Christensen, 1990)

1 1 1 1
σln(CPR) = + + + (7)
WW WL LW LL

18
 We also conduct a chi-square test comparing the observed frequency distribution of WW,

WL, LW, and LL with the expected frequency distribution. Carpenter and Lynch (1999) study the

specification and power of various persistence tests and find that the chi-square test based on the

number of winners and losers is well-specified, powerful, and more robust to the presence of

survivorship bias compared to other test methodologies.

The chi-square statistic is defined as:

(WW − D1 ) 2 (WL − D2 ) 2 ( LW − D3 ) 2 ( LL − D4 ) 2
χˆ 2 = + + + (8)
D1 D2 D3 D4

where

(WW + WL )(WW + LW )
D1 =
N
(WW + WL )(WL + LL )
D2 =
N
( LW + LL )(WW + LW )
D3 =
N
( LW + LL )(WL + LL )
D4 =
N
N = WW + WL + LW + LL

We test this statistic at the 5% significance level, which corresponds to a critical value of

Chi-square statistic of 3.84 (one degree of freedom).

Table 10 shows our empirical results. For each formation/holding period, the sample is split

into overlapping (to maximize power) periods of the required frequency. Each panel of Table 10 (A

to D) displays the percentage of occurrences of WW, WL, LW, and LL over the sample period, the

cross-product ratio (CPR) with its Z-statistic, and the chi-square test result. For the latter statistic,

we report the percentage of cases where statistically significant persistence was observed in each

CTA category.

19
 We first observe that, in general, both the CPR and chi-square tests indicate a greater extent

of persistence, i.e. persistence is observable for longer holding periods. In particular for holding

periods of three, six and twelve months, Diversified, Financial/Metal and Systematic CTAs are

more persistent than the others categories in terms of the percentage of cases where persistence is

statistically significant. For instance, for a holding period of twelve months, the percentage of cases

where persistence is statistically significant is 90%, 90% and 92%, for Diversified, Systematic, and

Financial/Metal CTAs, respectively. On the other hand, we find that Arbitrage CTA managers are

less persistent than other CTA managers. Surprisingly, we find a weak presence of persistence

when the holding period is one month. For all CTA categories, their corresponding CPRs are not

statistically different from one. Finally, contrary to hedge funds evidence (Agarwal and Naik, 2002)

the extent of CTA persistence does not seem to be related to return measurement intervals. Overall,

we find that managers who show persistence over a short time horizon is more likely to be

persistent over a longer one.

In Table 11, we extend our investigation to examine what happens after periods during

which some CTAs exhibited some persistence. In other words, we show among the periods for

which we find 1 month persistence for instance, how much are still persistent after 3, 6 and 12

months and vice versa. This indicates whether the same periods yielded persistence at various

horizons. For example, for Diversified CTAs, among the 45.11% results with a significant chi-

square, 4.48%, 0.38% and 0.04% (percents based on the whole number of funds) were also

significant with a 3, 6 and 9 months holding periods, respectively.

The results show a striking difference between one-month persistence and persistence over

longer periods. Conditionally on observing short-term persistence over a given month, the same sets

of portfolios (based on a one-month formation period) show very weak persistence over longer

periods. The loss in persistence when the holding period increases from one to several months is

20
especially strong for those strategies that exhibit the largest short term persistence, namely

Diversified and Financial/Metal. The converse holds for the Arbitrage and Energy strategies, for

which 10.02% and 9.09% of the periods sustain one-month and three-month persistence altogether.

These strategies, that exhibit the weakest short-term persistence, seem able to sustain this

persistence over longer periods. They also display low levels of medium- and long-term persistence.

This indicates that, while there is scarcer evidence of short- and long-term persistence for these

CTAs, persistence is more robust to the passage of time. For the other strategies, persistence over

the very short term does not signal persistence over longer periods.
***
Insert Table 11 about here***

Table 12, shows persistence for different sub-periods. For all but the Stock Index and

Energy sectors, persistence over very short (one month) and short periods is better during the first

(bullish) sub-period. For these holding periods, managers the Energy sector particularly suffered

from the Asian crisis, where very little persistence could be observed. For 12 month persistence

however, all CTA strategies exhibit lower persistence in the second sub-period. The impact is

particularly strong for Energy CTAs as well. This suggests that, for this particular strategy,

persistence has significantly shifted from longer to shorter holding periods from one sub-period to

another.

Evidence reported in this Table suggests that persistence has consistently deteriorated over time,

especially for longer holding periods. During the second sub-period there is a clear absence of long-

term trends. The market has been moving sideways, with lots of minor bumps during the 2001-2005

period. Trend-follower models cannot cope with that, since they represent more than 70% of

CTAs. A few trends (oil) still exist, but most markets are trend-less. Short-term persistence results

of CTAs do not lead to significant evidence but when they are examined every two consecutive

21
yearly periods i.e, 1994-1995 , 1995-1996 up to 2002, performance persistence is strong and

statistically significant. However, Vuille and Crisan (2004) observe that long-term

persistence does not led to significant persistence during June 1, 1994-May 31, 1998 and June 1,

1998 and May 3, 2002 periods.

This result is very consistent across strategies, unlike evidence presented in Table 9 showing that

performance was not monotonically evolving over time for all strategies.
***
Insert Table 12 about here***

We perform additional tests to analyze the persistence in the extremities of the rankings.

More specifically, our performance analysis award a “win” to those funds with a ranking in the top

quartile (normalized ranking greater than or equal to 0.75), and a “lose” to those funds with a

ranking in the bottom quartile (normalized ranking less than 0.25). If a CTA fund earns a ranking

placing them in either of the middle quartiles (greater than 0.25 or less than 0.75) it is assigned a

rating of NS. Only CTA funds in the top or bottom quartile are paired with a subsequent fund. As

we are principally interested in the extreme performers, we only present results for WTWT (top “T”

funds that are winners in two consecutive periods) and LBLB (bottom “B” funds that are losers in

two consecutive periods); The results are shown in Table 13, which should be analyzed in

conjunction with Table 10.

In Panel A, we find percentages that are considerably below the expected frequencies under

the null (25%) for all but the Arbitrage categories. Thus, in the short run, most extreme performers

among the CTA managers tend to “join the pack”. The very high rejection rate using the khi-square

statistics suggest that this behavior is hardly random, and sharply contrasts with evidence presented

in Table 10 for the same period.

22
 This gregarious behavior fades away with the three-month period, except for Discretionary

CTAs. Next, in Panels C and D, we observe a reversal. There is again some evidence of persistence,

but mostly located in the bottom quartile. Good managers manage to sustain their rank for

Financial/Metals and, to a lesser extent (as indicated by the khi-square test) by Stock Index

managers. Discretionary CTAs consistently exhibit a return-to-the-mean behavior across all test

periods.
***
Insert Table 13 about here***

5. Conclusion

In this paper we have re-examined the performance of CTAs over the period 1996 to 2005.

We assess abnormal performance using a number of alternative benchmarks and an approach,

originally used in event studies. More specifically, the benchmarks employed allow for the standard

CAPM, the Fama-French three-factor model, the RATS technique, and a customized multifactor

model. In addition, we use the calendar-time approach as developed by Jaffe (1974) and Mandelker

(1974). This approach has the added advantage that it provides a direct measure of the opportunities

available to investors attempting to exploit any abnormal performance.

We find that, using the market model or the Fama and French (1993) three factor model as

benchmarks, CTA categories do outperform the market. However, taking more factors into account

induces that only four CTA categories significantly outperform the market and only one has

positive but insignificant excess returns. Based on alpha, the best strategy is Diversified Further,

we find that the most significant risk drivers for CTAs are option-based factors, which confirms the

empirical finding of. Fung and Hsieh (1997b) and Liang (2003).

The second objective of this study is to examine the performance persistence of CTAs over

different time periods. We first find that for Diversified, Systematic, and Financial/Metal CTAs are

consistently beating the others categories in terms of the percentage of managers that are

23
performing above their median. Second, we find that the performance of Arbitrage CTA managers

is always less persistent than the one of other CTA managers. Overall, a manager who shows

persistence over a horizon of at least three months is more likely to be persistent over a longer one.

However, most of these results do not stand the “acid test” of considering the ability of a manager

to stay in a top quartile rather than the top half of a category.

As noted by several academics, research in alternative investments, in general, is still at its

infancy. Our studies primarily shows that CTAs, in particular, address new challenges to financial

theory and a lot remains to be done to identify CTA performance drivers. Their return generating

process shows more than half of total variance unexplained. This probably indicates a high

instability in the CTA risk exposures. Furthermore, our study clearly shows that short- and long-

term measurement of persistence, as well as the ranking scheme of the managers, induce

interpretations that can greatly vary from one category to another.

24
References

Agarwal, V., Naik, N.Y., 2002. Multi-Period Peformance Persistence Analysis of Hedge

Funds. Journal of Financial and Quantitative Analysis 35(3), 327-342.

Agarwal, V., Naik, N.Y., 2004. “Risks and Portfolio Decisions Involving Hedge Funds”.

Review of Financial Studies 17, 63-98.

Brorsen, B.W., 1998. Performance Persistence for Managed Futures. Working Paper,

Oklahoma State University.

Brorsen, B.W., Townsend, J., (2002). Performance Persistence for Managed Futures.

Journal of Alternative Investments 4(4), 57-61.

Brown, S.J., Goetzmann, W.N., Ibbotson, R.G., 1999. Offshore Hedge Funds: Survival

and Performance 1989-2005. Journal of Business 72 (1), 91–117.

Brown, S.J., Goetzmann, W.N., Park, J., 2001. Careers and Survival: Competition and

Risk in the Hedge Fund and CTA Industry. Journal of Finance 56(5), 1869-1886.

Capocci, D., 2005. CTA Performance, Survivorship Bias, and Dissolution Frequencies. In

Gregoriou, G.N, Karavas, V.N., Lhabitant. F-S., and Rouah, F. (eds.) Commodity

Trading Advisors : Risk Performance Analysis and Selection. John Wiley and Sons

Inc., Hoboken, NJ.

Carhart, M., 1997. On Persistence in Mutual Fund Performance. Journal of Finance

52(1), 57-82.

Diz, F., 1996. Is Performance Realted to Survival? Working Paper, Syracuse University

and the Barclay Trading Group, Syracuse, NY.

25
Edwards, F.R., Ma, C., 1998. Commodity Pool Performance: Is the Information

Contained in Pool Prospectuses Useful? The Journal of Futures Markets 8(5), 589-

616.

Edwards, F.R., Caglayan, O., 2001. Survivorship Bias and Investment Style in the

Returns of CTAs. Journal of Portfolio Management 27(4), 30-41.

Elton, E.J., Gruber, M.J., and Rentzler, J.C., 1990. The Performance of Publicly Offered

Commodity Funds. Financial Analysts Journal 46(4), 23-30.

Elton, E.J., Gruber, M.J., and Rentzler, J.C., 1989. New Public Offerings, Information,

and Investor Rationality: The Case of Publicly Offered Commodity Funds. Journal of

Business 62(1), 1-15.

Elton, E. J., Gruber M.J., Rentzler J.C., 1987. Professionally Managed Publicly Traded

Commodity Funds. Journal of Business 60(2), 177-199.

Fama, E.F., French, K.R., 1993, Common Risk Factors in the Returns on Stocks and

Bonds. Journal of Financial Economics 33(1), 3-56.

Fung, W., Hsieh, D.A., 1997. Survivorship Bias and Investment Style in the Returns of

CTAs. Journal of Portfolio Management 24(1), 30-41.

Fung, W., Hsieh, D.A., 2000. Performance Characteristics of Hedge Funds and

Commodity Funds: Natural vs. Spurious Biases. Journal of Quantitative and Financial

Analysis 35(3), 291-307.

Fung, W., Hsieh, D.A., 2001. The Risk in Hedge Fund Strategies: Theory and Evidence

from Trend Followers. Review of Financial Studies 14, 313-341.

Harvey, C., Siddique, A., 2001, Conditional Skewness in Asset Pricing Tests. Journal of

Finance 55, 1263-1295.

26
Hübner, G., Papageorgiou, N., 2004, The Performance of CTAs in Changing Market

Conditions. In Gregoriou, G.N, Karavas, V.N., Lhabitant. F-S., and Rouah, F. (eds.)

Commodity Trading Advisors : Risk Performance Analysis and Selection. John Wiley

and Sons Inc., Hoboken, NJ.

Ibbotson, R.G., 1975. Price Performance of Common Stock New Issues. Journal of

Financial Economics 2(3), 235-272.

Irwin, S.H., 1994. Further Evidence on the Usefulness of CTA Performance Information

in Public Commodity Pool Prospectuses and a Proposal for Reform. In Advances in

Futures and Options Research, D.M. Chance and R.R. Trippi, (eds.), JAI Press,

Greenwich, CT.

Irwin, S., Zulauf, C.R., Ward, B., 1992a. The Predictability of Managed Futures Returns.

Journal of Derivatives, 2(2), 20-27.

Irwin, S., Krukemeyer, T., Zulauf, C.R., 1992b. Are Publicly Commodity Pools a Good

Investment? In Peter, C.C., (ed.) Managed Futures: Performance evaluation and

Analysis of Commodity Funds, Pools, and Accounts. Probus Publishing, Chicago, IL.

Jaffe, J. F., 1974. Special Information and Insider Trading. Journal of Business 47(3),

410- 428.

Kat, H.M., 2004. Managed Futures and Hedge Funds: A Match Made in Heaven. In

Gregoriou, G.N, Karavas, V.N., Lhabitant. F-S., and Rouah, F. (eds.) Commodity

Trading Advisors : Risk Performance Analysis and Selection. John Wiley and Sons

Inc., Hoboken, NJ.

Liang, B., 2003. The Accuracy of Hedge Fund Returns. Journal of Portfolio Management

29(3), 111-121.

27
Liang, B., 2004. Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds.

Journal of Investment Management 2(4), 1-18.

Carpenter, J. and Lynch A., 1999. Survivorship Bias and Attrition Effects in Measures of

Performance Persistence, Journal of Financial Economics 54, 337-374.

Christensen, R., 1990. Log-linear models . Springer-Verlag, New York.

Lintner, J.V. 1983. The Potential Role of Managed Commodity-Financial Futures

Accounts in Portfolios of Stocks and Bonds. Annual Conference of the Financial

Analysts Federation, Toronto, Canada.

Lyon, J., Brad B., Tsai C., 1999. Improved Methods for Tests of Long-run Abnormal

Stock Returns. Journal of Finance 54(1), 165-201.

Mandelker, G., 1974. Risk and Return: The Case of Merging Firms. Journal of Financial

Economics 1(4), 303-336.

Martellini, L., Vaissié, M. 2004. Benchmarking the Performance of CTAs. In Gregoriou,

G.N, Karavas, V.N., Lhabitant. F-S., and Rouah, F. (eds.) Commodity Trading

Advisors : Risk Performance Analysis and Selection. John Wiley and Sons Inc.,

Hoboken, NJ.

McCarthy, D., Schneeweis, T., Spurgin, R. 1996. Survivor Bias in Commodity Trading

Performance. Journal of Futures Markets, 16(3), 757-772.

Schneeweis, T., Spurgin, R., McCarthy, D. 1997. Informational Content in Historical

CTA Performance Journal of Futures Markets 14(1), 51-78.

Schneeweis, T., 2005. The Benefits of Managed Futures. CISDM Presentation,

University of Massachusetts, Amherst, MA.

28
Schneeweis, T., Spurgin, R., 1997. Managed Futures, Hedge Funds and Mutual Fund

Return Estimation: A Multifactor Approach. CISDM Working Paper, University of

Massachusetts, Amherst, MA.

Schneeweis T., Georgiev, G. 2002. The Benefits of Managed Futures. CISDM Working

Paper, Isenberg School of Management, University of Massachusetts, Amherst, MA.

Vuille, S., and C. Crisan. (2004). A Quantitative Analysis of CTA Funds Possibly a

reason for short and long-run persistence. HEC Lausanne Mater's Thesis, Lausanne.

29
Table 1: Definition of CTA Classifications
Classification Definition

Arbitrage Traders who trade either intra-commodity or inter-commodity spread trading as their
predominant trading method.
Energy Traders who trade exclusively energy contracts such as crude oil, gasoline, natural gas,
etc.
Discretionary Traders who, in response to a questionnaire, indicated that at least 65% of their trading
decision process was judgmental or discretionary
Diversified Traders who trade a diversified portfolio, including most of the major sectors
Financial/Metals Traders who trade at least two of the following: currencies, interest rates, stock indices,
precious metals
Stock Index Traders who trade stock indices
Systematic Traders who, in response to a questionnaire, indicated that at least 95% of their trading
decision process was systematic
Source. The Barclay Group.

30
Table 2: Descriptive statistics for all CTA categories.
This table shows mean returns, t-statistics, medians, standard deviations, Sharpe ratios, skewness, and
kurtosis for all CTA categories and indexes for the 1996-2005 sample period. RMt = return of the Market
Proxy on month t; SMBt = the factor-mimicking portfolio for size (small minus big); HMLt = the factor-
mimicking portfolio for book-to-market equity (high minus low); PR1YRt = the factor-mimicking portfolio
for the momentum effect. We calculate the Sharpe ratio considering Ibbotson Associates 1-month T-bills.
All numbers in table are monthly percentages.

Arithmetic Mean t-statistic Median Standard Sharpe Ratio Skewness Kurtosis

(%) (%) Deviation
(%)
CTAs
Diversified 0.94 3.01 0.57 3.43 0.19 0.35 0.05
Arbitrage 0.34 0.96 0.37 3.87 0.01 -0.47 3.36
Systematic 0.78 5.00 0.71 1.72 0.28 0.11 0.11
Stock Index 1.46 6.70 1.54 2.38 0.49 -0.92 2.36
Energy 1.00 2.11 0.53 5.17 0.13 1.43 7.44
Financial/ Metal 0.87 4.78 0.56 1.99 0.29 0.51 0.19
Discretionary 0.85 4.35 0.75 2.13 0.26 0.56 1.57
Indexes
RMt 0.26 0.60 0.94 4.67 -0.01 -0.73 0.62
SMBt 0.29 0.74 0.19 4.35 0.00 0.75 5.90
HMLt 0.46 1.27 0.53 3.95 0.04 0.02 1.94
PR1YRt 0.87 1.66 1.09 5.75 0.10 -0.64 3.93

31
 Table 3:
Correlation among CTA categories
This table shows the linear (Pearson) correlation coefficient among CTA categories for the 1996-2005
sample period.

Stock Financial/
Energy Systematic Index Arbitrage Metal Diversified Discretionary
Energy 1
Systematic 0.06 1
Stock Index -0.06 0.21 1
Arbitrage -0.06 -0.19 0.12 1
Financial/Metal 0.08 0.65 0.14 -0.26 1
Diversified 0.07 0.55 0.09 -0.28 0.83 1
Discretionary 0.03 0.11 -0.07 0.02 0.07 0.22 1

32
Table 4: Correlation matrix among passive indexes and between all CTA categories and passive indexes.
This table shows the linear (Pearson) correlation coefficient among passive indexes and between all CTA categories and passive indexes for the 1996-2005
sample period. RMt = return of the Market Proxy on month t; SMBt = the factor-mimicking portfolio for size (small minus big); HMLt = the factor-mimicking
portfolio for book-to-market equity (high minus low); PR1YRt = the factor-mimicking portfolio for the momentum effect; MSWXUSt = return of the MSCI World
Index excluding US; SWGBIt = return of the Salomon World Government Bond Index; GSCIt = return of the Goldman Sachs Commodity Index.

Financial/
RMt SMBt HMLt PR1YRt Energy Systematic Stock Index Arbitrage Diversified Discretionary
Metal
RMt 1
SMBt 0.21 1
HMLt -0.55 -0.50 1
PR1YRt -0.23 0.17 -0.06 1
Energy 0.07 0.06 0.00 -0.05 1
Systematic 0.24 -0.04 -0.19 0.03 0.06 1
Stock Index 0.39 0.17 -0.30 0.03 -0.05 0.19 1
Arbitrage 0.13 0.14 -0.17 -0.07 -0.05 -0.18 0.12 1
Financial/Metal -0.02 -0.03 0.06 0.06 0.07 0.63 0.11 -0.23 1
Diversified -0.14 0.00 0.11 0.16 0.07 0.54 0.07 -0.26 0.83 1
Discretionary -0.02 -0.17 -0.02 0.04 0.03 0.08 -0.08 0.02 0.05 0.20 1

33
Table 5: Abnormal performance using the market model
Each panel displays the calendar time alpha in percentage using the one-factor market model for different
portfolio formation periods during the 1996-2005 sample period. Bootstrapped Skewness Corrected t-
statistics are in parentheses. ***Significant at the 1% level.

Calendar months
12 months 24 months 36 months
Diversified 2.31%*** 1.85%*** 1.60%***
(17.12) (19.25) (20.53)
Arbitrage 1.62%*** 1.03%** 1.37%***
(2.90) (2.55) (3.65)
Systematic 1.71%*** 0.92%*** 0.63%***
(8.40) (6.85) (5.82)
Stock Index 1.64%*** 1.29%*** 1.07%***
(5.00) (5.24) (5.02)
Energy 3.71%*** 3.41%*** 2.81%***
(5.85) (7.08) (7.55)
Financial/ Metal 2.20%*** 1.75%*** 1.42%***
(12.86) (14.28) (14.93)
Discretionary 2.34%*** 1.59%*** 1.61%***
(6.78) (6.86) (7.67)

34
 Table 6: Performance measurement using the Fama and French (1993) three-factor model
Each panel displays the monthly calendar time alpha in percentage using the Fama and Fench (1993) three
factor model for the 1996-2005 sample period. Heteroscedasticity consistent t-statistics are in parentheses.
*
Significant at the 10% level. **Significant at the 5% level. ***Significant at the 1% level.

Alpha (%) RMt - RFt SMBt HMLt R-squared

Diversified 2.02%*** -0.06 -0.15 -0.06 0.048
(5.41) (-0.6) (-1.55) (-0.47)
Arbitrage 1.36%*** 0.007 -0.06 -0.38 0.028
(3.04) (0.05) (-0.33) (-1.38)
Systematic 0.87%*** 0.09* -0.19*** -0.15*** 0.129
(5.23) (1.81) (-3.52) (-2.54)
Stock Index 1.28%*** 0.14 -0.13 -0.18 0.153
(4.20) (0.93) (-1.29) (-1.55)
Energy 1.89%*** 0.10 -0.03 0.03 0.003
(4.55) (0.94) (-0.23) (0.24)
Financial/ Metal 2.05%*** -0.12 -0.10 -0.12 0.028
(6.90) (-1.09) (-1.07) (-1.05)
Discretionary 2.10%*** -0.07 -0.17 -0.22 0.018
(4.72) (-0.52) (-1.33) (-1.13)

35
Table 7: Performance measurement using the Fama and French (1993) three-factor model with
Ibbotson (1975) RATS procedure
Each panel displays the monthly calendar time alpha in percentage using the Fama and Fench (1993) three
factor model with Ibbotson (1975) “Returns Across Time and Securities” (RATS) procedure, for different
portfolio formation periods during the 1996-2005 sample period. With the RATS technique, we presume
that the betas of each calendar time portfolio vary over time as new information becomes readily available.
Heteroscedasticity consistent t-statistics are in parentheses. *Significant at the 10% level, **significant at
the 5% level, ***significant at the 1% level.
.
Calendar time period
12 months 24 months 36 months
Diversified 2.31%*** 3.69%*** 4.79%***
(17.12) (19.25) (20.53)
Arbitrage 1.62%*** 2.05%*** 4.12%***
(2.90) (2.55) (3.65)
*** ***
Systematic 1.71% 1.85% 1.90%***
(8.40) (6.85) (5.82)
Stock Index 1.64%*** 2.58%*** 3.20%***
(5.01) (5.24) (5.03)
Energy 3.71%*** 6.82%*** 8.44%***
(5.85) (7.08) (7.55)
Financial/ Metal 2.20%*** 3.51%*** 4.25%***
(12.86) (14.29) (14.93)
Discretionary 2.34%*** 3.18%*** 4.84%***
(6.78) (6.86) (7.67)

36
Table 8: Performance measurement using a specific multifactor model for each CTA categories
This table presents the results of the estimation of the multifactor models on monthly data for the 1996-2005 sample period. Mkt = excess return of the Market
Proxy; SMB = the factor-mimicking portfolio for size (small minus big); HML = the factor-mimicking portfolio for book-to-market equity (high minus low);
PR1YR = the factor-mimicking portfolio for the momentum effect; Var, Skew, Kurt = the factor-mimicking portfolios for variance, skewness and kurtosis (higher
33% minus lower 33%), respectively. For each underlying, the reported coefficient of option-based factors corresponds to the double-letter code to the left: “A”
means ATM, “O” means OTM (+5% for calls, - 5% for puts), “C” means call, “P” means put, “S” means straddle or strangle. t-statistics (not reported) are
heteroskedasticity consistent. *Significant at the 10% level, **significant at the 5% level, ***significant at the 1% level.

Diversified Arbitrage Financial/metal Systematic Energy Discretionary Stock index

α 4.03%*** -5.19%*** 2.19%*** 0.45% -0.17% 1.06%*** 1.68%***
Indexes
Mkt 0.011 0.0259** 0.0077
SMB 0.0006 -0.5009
PR1YR -0.0535
Moments
Var 0.0001 0.0027 -1.0452 -2.3815** 0.0022 0.0957* 0.0738
Skew -0.0432 -0.4762* -0.0496 -0.1174* -0.0868 0.1323 -0.0051
Kurt -0.0419 1.2938*** -0.0197 0.0296 0.1017 0.0079 -0.0248
Options
FX-$/€ OC -0.0014*** OS -0.0341 AS -0.0005 OC 0.168
AP 0.0084***
FX-$/£ OP 0.0154*** AP -0.0533*** OS 0.0183* OS -0.0008*** AP 0.128
OS -0.0008* AC 0.0098
FX-$/¥ OS -0.2538** OS -0.1314* OC 0.0861
IR-Credit OP 0.009*** AP 0.0373*** OS 0.0031** AP 0.0025*
AP 0.0142***
IR-Term OP -0.0184** AC -0.0233*** AC 0.0012 AC 0.0029* OP 0.0057
OS 0.0104**
AS -0.0575
Com-Gold AC 0.1414*** AP 0.0504*** OC 0.0063*** AC 0.0098
Com-Oil OC -0.034** OC 0.0112 OP 0.2628** OP -0.0067***
AP -0.0288*** AC 0.299*** AP 0.0109**
OS -0.07*** OS -0.2852***
AS -0.1161**
Com-Wheat OS -0.0077*** AC 0.011*** AC 0.0686
AS -0.0609*
R2adj 0.4939 0.4311 0.3453 0.2914 0.3233 0.0710 0.2454

37
Table 9: Performance of CTAs using the multifactor model in different subperiods
This table presents the performance of CTAs using the multifactor model for different subperiods. t-
statistics (not reported) are heteroskedasticity consistent. *Significant at the 10% level, **significant at the
5% level, ***significant at the 1% level.

Whole period 2 subperiods Asian crisis

CTA Category 1996-2005 1/1996- 12/2000 1/2001- 12/2005 1/1997-6/1998
Diversified 4.03%*** 4.14%*** 3.38%*** 10.56%
Arbitrage -5.19%*** -1.40% **
-0.13% -5.32%
Systematic 0.45% 0.07%*** 0.01% 0.31%
Stock Index 1.68%*** 1.82%*** 0.08%*** 2.14%**
Energy -0.17%*** 1.72% 1.17% 7.05%*
Financial/Metal 2.19%*** 2.46%*** 3.20%*** 3.32%
Discretionary 1.06%*** 0.18% 0.97% 0.25%

38
Table 10: Performance persistence of CTAs
For each formation/holding period, the sample is split into overlapping (to maximize power) periods of the
required frequency during the 1996-2005 sample period. WW denotes funds that are winners in two
consecutive periods; LL denotes funds that are losers in two consecutive periods; WL denotes funds that
are winners in the first period and losers in the second period; and LW denotes the reverse. Each panel
displays the percentage of occurrences of WW, WL, LW, and LL over the sample period, the chi-square
test result (the percentage of cases where statistically significant persistence was observed in each CTA
category), and the cross-product ratio (CPR). The statistical significance of the CPR is tested with a Z-
statistic, which measures the ratio of the natural log of CPR to its standard error. The CPR and chi-square
statistic are calculated as per Section 4.3.

Panel A: 1 month WW WL LW LL CPR Z-stat χ2

Diversified 25% 25% 25% 25% 1.00 0.03 45%
Arbitrage 25% 19% 18% 40% 2.92 0.54 14%
Systematic 25% 23% 23% 27% 1.28 0.51 24%
Stock Index 24% 20% 19% 36% 2.27 1.11 24%
Energy 22% 23% 23% 32% 1.33 0.19 17%
Financial/ Metal 25% 24% 23% 27% 1.22 0.58 41%
Discretionary 25% 23% 22% 29% 1.43 0.51 12%
Panel B: 3 months
Diversified 35% 14% 15% 35% 5.83 6.35 90%
Arbitrage 33% 11% 11% 45% 12.27 1.02 26%
Systematic 34% 13% 14% 37% 6.91 2.90 79%
Stock Index 31% 11% 11% 46% 11.79 2.73 71%
Energy 34% 13% 13% 41% 8.25 1.12 45%
Financial/ Metal 35% 13% 15% 37% 6.64 4.67 85%
Discretionary 35% 13% 14% 37% 7.12 2.51 62%
Panel C: 6 months
Diversified 37% 10% 12% 40% 12.33 7.50 91%
Arbitrage 37% 6% 5% 51% 62.90 1.16 32%
Systematic 36% 12% 11% 39% 10.64 3.35 88%
Stock Index 34% 7% 8% 49% 29.75 3.16 87%
Energy 36% 10% 10% 44% 15.84 1.25 54%
Financial/ Metal 38% 10% 12% 40% 12.67 5.61 90%
Discretionary 37% 10% 11% 41% 13.79 2.51 80%
Panel D: 12 months
Diversified 39% 7% 10% 42% 23.40 7.59 90%
Arbitrage 40% 5% 4% 49% 98.00 1.15 33%
Systematic 38% 8% 9% 42% 22.17 3.54 89%
Stock Index 35% 5% 7% 52% 52.00 3.19 92%
Energy 38% 6% 6% 48% 50.67 1.32 50%
Financial/ Metal 40% 8% 10% 41% 20.50 5.96 90%
Discretionary 39% 7% 10% 43% 23.96 2.54 83%

39
Table 11: Performance persistence of CTAs
For each period we report the (n+1) period persistence conditional on (n) period persistence for the 1996-2005 sample period. Each panel displays the chi-square
test result (the percentage of cases where statistically significant persistence is observed in each CTA category), The chi-square statistic is calculated as per
Section 4.3.

Financial/
Period Diversified Arbitrage Systematic Stock Index Energy Metal Discretionary
CTA with 1 month persistence 45.11% 13.53% 23.31% 24.06% 16.54% 40.60% 12.03%
3 month persistence conditional on 1 month persistence 4.48% 10.02% 4.80% 6.98% 9.09% 5.89% 4.50%
6 month persistence conditional on previous period persistence 0.38% 6.73% 0.56% 0.87% 4.19% 0.60% 0.91%
12 month persistence conditional on previous period persistence 0.04% 4.47% 0.06% 0.07% 2.06% 0.06% 0.16%

CTA with 3 month persistence 89% 25% 79% 70% 44% 85% 62%
6 month persistence conditional on 3 month persistence 87% 19% 69% 49% 28% 79% 43%
12 month persistence conditional on previous period persistence 84% 15% 60% 36% 13% 74% 31%

CTA with 6 month persistence 91% 32% 88% 87% 53% 89% 79%
12 month persistence conditional on 6 month persistence 88% 28% 82% 79% 31% 88% 69%

40
Table 12: Performance persistence of CTAs in different subperiods
This table presents the performance persistence of CTAs for different subperiods for the 1996-2005 sample
period. Persistence is based on the chi-square test result (the percentage of cases where statistically
significant persistence was observed in each CTA category), The chi-square statistic is calculated as per
Section 4.3.

Whole period 2 subperiods Asian crisis

Panel A: 1 month 1996-2005 1/1996- 12/2000 1/2001- 12/2005 1/1997-6/1998
Diversified 45% 47% 44% 37%
Arbitrage 14% 15% 12% 16%
Systematic 24% 27% 20% 32%
Stock Index 24% 23% 26% 26%
Energy 17% 11% 23% 5%
Financial/ Metal 41% 44% 38% 47%
Discretionary 12% 15% 9% 15%
Panel B: 3 months
Diversified 90% 97% 83% 100%
Arbitrage 26% 24% 27% 55%
Systematic 79% 85% 73% 90%
Stock Index 71% 62% 80% 68%
Energy 45% 40% 50% 32%
Financial/ Metal 85% 92% 78% 84%
Discretionary 62% 70% 55% 68%
Panel C: 6 months
Diversified 91% 97% 85% 100%
Arbitrage 32% 42% 21% 63%
Systematic 88% 94% 82% 95%
Stock Index 87% 86% 89% 85%
Energy 54% 56% 51% 53%
Financial/ Metal 90% 97% 82% 100%
Discretionary 80% 87% 72% 95%
Panel D: 12 months
Diversified 90% 97% 82% 100%
Arbitrage 33% 42% 22% 47%
Systematic 89% 97% 80% 100%
Stock Index 92% 94% 90% 95%
Energy 50% 70% 27% 57%
Financial/ Metal 90% 97% 82% 100%
Discretionary 83% 91% 72% 95%

41
Table 13: Performance persistence of CTAs in the extremities of the rankings
We use data for the 1996-2005 sample period. The performance analysis award a “win” to those funds with
a ranking in the top quartile “T”(normalized ranking greater than or equal to 0.75), and a “lose” to those
funds with a ranking in the bottom quartile “B” (normalized ranking less than 0.25). If a CTA fund earns a
ranking placing them in either of the middle quartiles (greater than 0.25 or less than 0.75) it is assigned a
rating of NS. Only CTA funds in the top or bottom quartile are paired with a subsequent fund. As we are
principally interested in the extreme performers, we only present results for WTWT (top “T” funds that are
winners in two consecutive periods) and LBLB (bottom “B” funds that are losers in two consecutive
periods); Each panel displays the percentage of occurrences of WTWT and LBLB over the sample period and
the chi-square test result (the percentage of cases where statistically significant persistence was observed in
each CTA category). The chi-square statistics are calculated as per Section 4.3.

Panel A: 1 month WT WT LBLB χ2

Diversified 13% 10% 92%
Arbitrage 22% 20% 1%
Systematic 16% 13% 76%
Stock Index 17% 14% 50%
Energy 18% 16% 5%
Financial/ Metal 12% 11% 98%
Discretionary 17% 14% 58%
Panel B: 3 months
Diversified 23% 22% 48%
Arbitrage 25% 26% 0%
Systematic 23% 24% 4%
Stock Index 26% 25% 7%
Energy 23% 20% 2%
Financial/ Metal 24% 22% 46%
Discretionary 18% 12% 49%
Panel C: 6 months
Diversified 28% 27% 47%
Arbitrage 27% 29% 0%
Systematic 30% 28% 12%
Stock Index 30% 30% 15%
Energy 23% 24% 1%
Financial/ Metal 27% 27% 27%
Discretionary 21% 12% 40%
Panel D: 12 months
Diversified 8% 48% 70%
Arbitrage 29% 30% 0%
Systematic 14% 35% 39%
Stock Index 32% 33% 19%
Energy 28% 28% 0%
Financial/ Metal 31% 31% 54%
Discretionary 12% 23% 54%

42
 HEC-ULg Working Paper Series

September 06 / N° 200609/06
Accounting Standardization and Governance Structures
Elena Chane-Alune
September 06 / N° 200609/05
Investor Sentiment, Mutual Fund Flows and its Impact on Returns and Volatility
Aline Muller , R. Beaumont , B. Frijns and T. Lehnert
September 06 / N° 200609/04
Identities and change in public administrations: which interactions over time?
Giseline Rondeaux
September 06 / N° 200609/03
The evolution of the organizational identity of a Federal Public Service in a context of
change.
Giseline Rondeaux
September 06 / N° 200609/02
El diccionario jurídico bilingüe,puente entre dos mundos doblemente extraños
Bernard Thiry
September 06 / N° 200609/01
Performance and persistence of Commodity Trading Advisors: Parametric Evidence
Greg Gregoriou , Georges Hübner and Maher Kooli
August 06 / N° 200608/15
Le processus d’apprentissage des entrepreneurs naissants
Zineb Aouni
August 06 / N° 200608/14
The Impact of Corporate Derivative Usage on Foreign Exchange Risk Exposure
Aline Muller and W.F.C. Verschoor
August 06 / N° 200608/13
Foreign Trade and Exchange Risk Exposure: A Firm and Industry Analysis of Eastern
European Multinationals
Aline Muller and W.F.C. Verschoor
August 06 / N° 200608/12
La création d'activités par les femmes : freins et leviers
Christine Delhaye , Christina Constantinidis , Manal El Abboubi , Anne-Marie Dieu ,
Caroline Pâques , Stéphanie Gerkens and Annie Cornet
August 06 / N° 200608/11
Brand Concept Maps: A New Way of Segmenting the Market
Céline Brandt and Charles Pahud de Mortanges
August 06 / N° 200608/10
Growth, longevity and public policy
Gregory Ponthière
August 06 / N° 200608/09
Une classification de fonctions analytique : une condition pour une politique d'équité
salariale
Jacques Hodeige , Katrien Baert , Mieke Van Haegendoren and Annie Cornet
August 06 / N° 200608/08
L’audit social : un outil d’amélioration de la qualité du pilotage social à l’heure des
reformes des entreprises publiques au maroc
Fatima El Kandoussi and Manal El Abboubi
August 06 / N° 200608/07Deregulation and supplier relations in automotive
distribution : A cross-national study
Veronica Liljander , Janjaap Semeijn , Allard C.R. van Riel and Pia Polsa
August 06 / N° 200608/06
Optional and Conditional Components in Hedge Fund Returns
Georges Hübner and Nicolas Papageorgiou
August 06 / N° 200608/05
Une vision positiviste de nombres hyperréels au moyen d’angles
Jacques Bair and Valérie Henry
August 06 / N° 200608/04
Les femmes repreneuses d’une entreprise familiale : difficultés et stratégies
Christina Constantinidis and Annie Cornet
 HEC-ULg Working Paper Series

August 06 / N° 200608/03
L’impact d’une formation à distance sur le sentiment d'efficacité personnelle: étude d’un
cas concret
Christina Constantinidis
August 06 / N° 200608/02
Measuring operational risk in financial institutions:Contribution of credit risk modelling
Georges Hübner , Jean-Philippe Peters and Séverine Plunus
August 06 / N° 200608/01
Fondements et implications de la diversité organisationnelle au sein du commerce
équitable
Benjamin Huybrechts
July 06 / N° 200607/02
Développement d'un modèle de microsimulation pour analyser l'efficience globale de
stratégies récentes de prise en charge de l'ostéoporose
Mickaël Hiligsmann
July 06 / N° 200607/01
Propiedad y contagio en el comparatismo y traducción jurídica
Bernard Thiry
June 06 / N° 200606/04
How do performance measures perform ?
Georges Hübner
June 06 / N° 200606/03
Counting Aggregate Classifers
Jan Adem , Yves Crama , Willy Gochetz and Frits C.R. Spieksma
June 06 / N° 200606/02
Simulation and optimization of a shipbuilding workshop
Frédéric Bair , Yves Langer , Thomas Richir and Philippe Rigo
June 06 / N° 200606/01
Analyse socio-économique comparée des acteurs du commerce équitable
Benjamin Huybrechts
May 06 / N° 200605/02
Au-delà des labels : Du management de la RSE au management par la RSE
Christine Delhaye , Manal El Abboubi and Virginie Xhauflair
May 06 / N° 200605/01
Corporate International Diversification and the Cos t of Equity: European Evidence
Robert Joliet and Georges Hübner
April 06 / N° 200604/01
Les enjeux du management responsable dans le secteur agroalimentaire au Maroc :
cas de la région Sous Massa
Manal El Abboubi and Fatima El Kandoussi
March 06 / N° 200603/02
Polynomial Regression with Censored Data Based on Preliminary Nonparametric
Estimation
Cédric Heuchenne and Ingrid Van Keilegom
March 06 / N° 200603/01
L’analyse équilibrée des symptômes de déséquilibre de la PME à reprendre, facteur-clé
du succès du processus de reprise : légitimation théorique et première validation
empirique
Didier Van Caillie , Sarah Santin , Nathalie Crutzen and Charles Kabwigiri
February 06 / N° 200602/02
Penalties and Optimality in Financial Contracts : Taking Stock
Michel Robe , Eva-Maria Steiger and Pierre Armand Michel
February 06 / N° 200602/01
Managing the Waiting Experience at Checkout
Allard C.R. van Riel , Janjaap Semeijn , Dina Ribbink and Yvette Peters
January 06 / N° 200601/04
Les entreprises de survie et le développement de certains pays africains : Le cas de la
République Démocratique du Congo
Kéké Edgar Makunza
 HEC-ULg Working Paper Series

January 06 / N° 200601/03
Impact of the collection threshold on the determination of the capital charge for
operational risk
Yves Crama , Georges Hübner and Jean-Philippe Peters
January 06 / N° 200601/02
Ombre et cône asymptotique d’une courbe algébrique plane
André Antibi , Jacques Bair and Valérie Henry
January 06 / N° 200601/01
Social Responsibility among Fair Trade Actors : Extent and Prospects
Benjamin Huybrechts
December 05 / N° 200512/06
Foreign Exchange Risk Exposure: Survey and Suggestions
Aline Muller and W.F.C. Verschoor
December 05 / N° 200512/05
Mean Preservation in Nonparametric Regression with Censored Data
Cédric Heuchenne and Ingrid Van Keilegom
December 05 / N° 200512/04
Working or schooling: what determine children’s time allocation in Senegal?
Eric Bonsang and Ousmane Faye
December 05 / N° 200512/03
On the generation of a regular multi-input multi-output technology using parametric
output distance functions
Sergio Perelman and Daniel Santin
December 05 / N° 200512/02
Product specialization, efficiency and productivity change in the Spanish insurance
industry
Hugo Fuentes , Emili Griffel-Tatjé and Sergio Perelman
December 05 / N° 200512/01
CAP reforms and total factor productivity growth in Belgian agriculture: a Malmquist
index approach
Tim Coelli , Sergio Perelman and Dirk Van Lierde
November 05 / N° 200511/03
Projet EVA - Equité salariale : aperçu de la littérature
Annie Cornet , Anne-Marie Dieu , Christine Delhaye and Anne-Sophie Crahay
November 05 / N° 200511/02
Measuring educational efficiency at student level with parametric stochastic distance
functions: An application to Spanish PISA results
Sergio Perelman and Daniel Santin
November 05 / N° 200511/01
Multiplicity and complexity issues in contemporary production scheduling
Nadia Brauner , Yves Cama , Alexander Grigoriev and Joris Van de Klundert
October 05 / N° 200510/03
La Terminología a la luz de una investigación en Derecho
Bernard Thiry
October 05 / N° 200510/02
Presentación del Diccionario jurídico : Terminología de la Responsabilidad civil
(español-francés y francés-español)
Bernard Thiry
October 05 / N° 200510/01
Tool Switching Problem Revisited
Yves Crama , Linda Moonen , Friets Spieksma and Ellen Talloen
September 05 / N° 200509/07
Asian Foreign Exchange Risk Exposure
Aline Muller and W.F.C. Verschoor
September 05 / N° 200509/06
Foreign Exchange Risk Exposure: evidence from U.S. multinationals
Aline Muller and W.F.C. Verschoor
 HEC-ULg Working Paper Series

September 05 / N° 200509/05
Gestion des compétences, impératifs économiques et préoccupations sociales: un
mariage forcé ?
Mélanie Antoine , Dimitri Deflandre and François Pichault
September 05 / N° 200509/04
Construire l’Europe sociale dans l’entreprise : conditions et enjeux de la Flexicurité
Isabelle Donnay and Virginie Xhauflair
September 05 / N° 200509/03
Enjeux de la Société de la Communication
Michel Hermans
September 05 / N° 200509/02
Une étude didactique sur les quartiles d'une sériestatistique univariée
Valérie Henry
September 05 / N° 200509/01
Grafting Information in Scenario Trees: Application to Option Prices
Michael Schyns , Yves Crama and Georges Hübner
August 05 / N° 200508/02
Strong Uniform Consistency Results of the Weighted Average of Conditional Artificial
Data Points
Cédric Heuchenne
August 05 / N° 200508/01
L’impact economique des intérêts notionnels. Première partie: Références à la théorie
financière classique
Bruno Colmant and Georges Hübner
July 05 / N° 200507/03
A multiple criteria performance dynamic analysis oftelecommunications operators in the
Maghreb countries
Karim Sabri , Gérard Colson and Mapapa Mbangala
July 05 / N° 200507/02
A multiple criteria analysis for household solidwaste management in the Urban
Community of Dakar
Ka-Mbayu Kapepula , Gérard Colson , Karim Sabri and Philippe Thonard
July 05 / N° 200507/01
Radiographie du langage de l'économie
Bernard Thiry
June 05 / N° 200506/04
Financing of women-owned ventures:the impact of gender and other owner- and firm-
related variables
Christina Constantinidis and Annie Cornet
June 05 / N° 200506/03
Faut-il un ou plusieurs indicateurs d'exclusion sociale?
Bernadette Biatour , Sergio Perelman and Pierre Pestieau
June 05 / N° 200506/02
Départ à la retraite et taxation optimale
Helmuth Cremer , Jean-Marie Lozachmeur and Pierre Pestieau
June 05 / N° 200506/01
La chaîne de valeur integrée: le profil du nouveau cadre en logistique et quelques
recommendations pour sa formation
Allard C.R. van Riel
May 05 / N° 200505/03
Estimation in Nonparametric Location-Scale Regression Models with Censored Data
Cédric Heuchenne and Ingrid Van Keilegom
May 05 / N° 200505/02
Space allocation optimization using heuristic approaches
Yves Langer
May 05 / N° 200505/01
Contrevérités sur le départ à la retraite
Pierre Pestieau
 HEC-ULg Working Paper Series

April 05 / N° 200504/01
Enquête sur les pratiques de gestion du temps de travail dans lesemployeurs de la
Province du Luxembourg
Annie Cornet , Christine Delhaye and Isabelle Cardol
March 05 / N° 200503/02
Asian Crisis Exchange Risk Exposure of U.S. Multinationals
Aline Muller and W.F.C. Verschoor
March 05 / N° 200503/01
Funds of hedge funds: bias and persistence in returns
Daniel Capocci and Georges Hübner
January 05 / N° 200501/04
European Foreign Exchange Risk Exposure
Aline Muller and W.F.C. Verschoor
January 05 / N° 200501/03
The Latin American Exchange Rate Exposure of U.S. Multinationals
Aline Muller and W.F.C. Verschoor
January 05 / N° 200501/02
Décalage interdisciplinaire dans l'enseignement universitaire en physique : un modèle
Valérie Henry
January 05 / N° 200501/01
Les stocks options en période de décroissance boursière – une réflexion sur les conflits
d’agence
Andrée DIGHAYE
2004 /10
Analyse classique et analyse non standard : deux contextes pour définir la notion de
limite
Valérie Henry
2004 /09
Control and voting power in corporate networks:Concepts and computational aspects
Yves CRAMA and Luc LERUTH
2004 /08
Une application de la Gestion des Risques aux risques environnementaux liés aux
émissions de CO2
Gérard COLSON and Isabelle HENNEN
2004 /07
The inconsistencies between the traditional structures of social dialogue and the
network organizations’ reality
Virginie Xhauflair
2004 /06
The Generalized Treynor Ratio
Georges HÜBNER
2004 /05
Concentrated Announcements on Clustered Data: An Event Study on Biotechnology
Stocks
Véronique BASTIN and Georges HÜBNER
2004 /04
Comparaison multicritère entre trois sites d’inter emulti-modalité : Liège – Duisburg –
Montréal
Gérard COLSON and Isabelle HENNEN
2004 /03
Corporate International Diversification and StockReturns: European Evidence
Robert JOLIET and Georges HÜBNER
2004 /02
Les facteurs clés du succès des entreprises africaines :Le cas des facteurs de la
performance des entreprises manufacturières de la République Démocratique du Congo
Kéké Edgar Makunza
 HEC-ULg Working Paper Series

2004 /01
Venture Capital Financing in Biotechnologies : A Prospective Assessment
Véronique BASTIN, Michel BERGERON, Georges HÜBNER, Pierre-Armand MICHEL and
Mélanie SERVAIS
2003 /07
L'analyse sexuée des budgets des politiques publiques
Annie Cornet, Isabelle Cecchini and Nathalie Holvoet
2003 /06
Restructurations et nouveaux périmètres organisationnels : effets induits sur le
travailleur
Virginie Xhauflair
2003 /05
Supply and Demand of Venture Capital for Biotech Firms: The Case of Wallonia and
Brussels
Véronique BASTIN, Georges HÜBNER, Pierre-Armand MICHEL and Mélanie SERVAIS
2003 /04
Hedge Fund Performance and Persistence in Bull and BearMarkets
Daniel CAPOCCI, Albert CORHAY and Georges HÜBNER
2003 /03
Grafting Information in Scenario Trees - Application to Option Prices
Michael SCHYNS, Yves CRAMA and Georges HÜBNER
2003 /02
L'intervention en organisation : Revue critique des principaux facteurs de succès
François PICHAULT
2003 /01
Reconsidering the Question of Coordination in a Process of Organizational Change: from
Managerial Toolkits towards Social Constructions
François PICHAULT and Éric ALSÈNE