Same same but different – Stylized facts of CTA sub strategies

Abstract Using a unique dataset of daily returns 89 programmes Commodity Trading Advisors (CTAs), we investigate the distributional properties CTA strategies including trend following, fundamental and contrarian strategies. We find that data exhibits strong features fat-tail, volatility clustering, long memory in volatility. This is different from previous studies which are often based on monthly data. Our study contributes to literature stylized facts financial markets, it also provides insights practitioners because information might be misleading.