Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
研究发现1994至2012年间，商品交易顾问（CTA）为投资者带来的净超额收益几乎为零，而毛超额收益为6.1%，表明管理费吞噬了全部收益；CTA相对于公开的简单期货策略也没有超额收益。
Investors face significant barriers in evaluating the performance of investment advisors. We focus on commodity trading advisors (CTAs) and show that from 1994 to 2012, CTA excess returns to investors (i.e., net of fees) were insignificantly different from zero while gross excess returns (i.e., before fees) were 6.1%, which implies that managers captured the performance in fees. Moreover, we find that CTAs display no alpha relative to simple future strategies in the public domain. Our results have implications for all hedge fund studies in that we find the typical adjustments for biases in the hedge fund databases still leave upward bias in fund performance.