Time Frames, Research Quality and Strategy: The Differentiating Factors for CTAs?

S tudies dealing with the classification of ctas have not effectively examined the distinction between the time frame these manag - ers trade and the strategies they employ. Nor have such studies examined the information that rigorous due diligence adds to the process of classifying ctas. this paper utilizes a set of cta managers screened from the Barclay cta (Managed Futures) Data - Feeder database. returns of these managers are analyzed using variables in this database as well as information collected in an extensive due diligence review. the results suggest that time frame and strategy are distinct factors in the classification of cta managers. Further - more, with ratings derived from the due diligence review, research quality is identified as a separate factor affecting cta returns.