CAN STRUCTURAL CHANGE EXPLAIN CHANGES IN RETURNS TO TECHNICAL ANALYSIS?

Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically during the last several years. Since these funds overwhelmingly use technical analysis, this research examines futures prices to determine if there is evidence of a structural change in futures price movements that could explain the reduction in fund returns. Bootstrap tests are used to test significance of a change in statistics related to daily returns, close-to-open changes, breakaway gaps, and serial correlation. Results indicate that several statistics have changed across a broad range of commodities indicating futures price fluctuations have changed. The lower price volatility, decreased price reaction time, and decreased serial correlation may partly explain the lower returns from technical analysis.


Subject(s):
Issue Date:
2002
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/19066
Total Pages:
24
Series Statement:
2002 Conference, St. Louis, Missouri, April 22-23




 Record created 2017-04-01, last modified 2017-04-26

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