Why have the returns to technical analysis decreased? [An article from: Journal of Economics and Business]

This digital document is a journal article from Journal of Economics and Business, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically. Funds overwhelmingly use technical analysis. This research determines if structural change in futures price movements could explain the reduced 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. Several statistics have changed across a broad range of commodities. Lower price volatility is the most likely explanation of the lower returns from technical analysis. The structural changes likely caused the decreased returns rather than increased technical trading causing the structural changes.