Top-Down and Bottom-Up replication of Commodity Trading Advisors

dc.rights.license	CC-BY-NC-ND
dc.contributor.advisor	Vákár, M.I.L.
dc.contributor.author	Li, Kan
dc.date.accessioned	2024-10-31T01:01:10Z
dc.date.available	2024-10-31T01:01:10Z
dc.date.issued	2024
dc.identifier.uri	https://studenttheses.uu.nl/handle/20.500.12932/48030
dc.description.sponsorship	Utrecht University
dc.language.iso	EN
dc.subject	This research aims to replicate CTAs using both top-down and bottom-up methods. The top-down method involves estimating CTA positions based on their daily returns over some lookback period, by using linear regression. The bottom-up method combines trend and carry strategies, followed by an optimization process to determine the best weights for strategy variants. The robustness of these methods is evaluated through in-sample and out-sample tests. Performance metrics such as R2 and Sharpe ratio ar
dc.title	Top-Down and Bottom-Up replication of Commodity Trading Advisors
dc.type.content	Master Thesis
dc.rights.accessrights	Open Access
dc.subject.courseuu	Computing Science
dc.thesis.id	34952