Purpose

The study systematically investigates persistence in performance for simulated trading among non-professional traders in the futures market.

Design/methodology/approach

In this study, the authors employ a novel data set from the Chicago Mercantile Exchange (CME) Group's Trading Challenges for years 2014 through 2018 and expand upon the empirical methodology of Malkiel (1995) through improved interval estimations in testing for persistence in performance. The authors implement Fama-MacBeth style regressions to understand the degree of persistence in performance and the extent to which non-professionals extrapolate from prior returns. They adjust returns for risk through the Fama and French (2015) five-factor model in understanding whether the sample of non-professionals is able to produce excess returns after expenses and whether there is evidence of excess gross to cover expenses.

Findings

The empirical analysis suggests strong evidence for performance persistence among non-professionals participating in the Preliminary Rounds. In the Championship Rounds, the authors find that the persistence effect becomes stronger in economic and statistical significance after accounting for expenses. The results suggest that competition and transaction costs help to distinguish between winners and losers. When conducting Fama-MacBeth style regressions, the authors present evidence that strongly supports the persistence effect and over-extrapolation. While the results of the multi-factor model analysis suggest that, after adjusting for risk, most teams are experiencing negative excess returns prior to expenses, the authors also uncover evidence of teams earning returns sufficient to cover their expenses.

Originality/value

The authors bridge the gap between the literature on performance persistence and the emerging literature on non-professionals in the financial markets. Data from the CME Group’s Trading Challenge provide a rich source in studying the beliefs of non-professionals, and this study is helpful for understanding how beliefs, operationalized in simulated trades, perform over short time horizons, thereby providing insights into the behavioral dynamics of the financial markets. The results provide new empirical evidence for performance persistence among non-professionals.

中文翻译：

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非专业人士有坚持吗？来自芝加哥商品交易所集团交易挑战的证据

目的

该研究调查了期货市场中非专业交易者在模拟交易中表现的持续性。

设计/方法/方法

在这项研究中，作者采用了芝加哥商品交易所 (CME) 集团 2014 年至 2018 年的交易挑战的新数据集，并通过改进间隔估计来测试性能持续性，扩展了 Malkiel (1995) 的经验方法。作者实施了 Fama-MacBeth 风格的回归，以了解性能的持续程度以及非专业人士从先前的回报中推断出来的程度。他们通过 Fame 和 French (2015) 五因素模型调整风险回报，以了解非专业样本是否能够在扣除费用后产生超额回报，以及是否有证据表明毛额超额支付费用。

发现

实证分析表明，参加预赛的非专业人士表现出持久性的有力证据。在冠军赛中，作者发现在考虑费用后，持久性效应在经济和统计意义上变得更强。结果表明，竞争和交易成本有助于区分赢家和输家。在进行 Fama-MacBeth 风格回归时，作者提供了强烈支持持久效应和过度推断的证据。虽然多因素模型分析的结果表明，在调整风险后，大多数团队在支出之前都经历了负超额回报，但作者还发现了团队赚取的回报足以支付其支出的证据。

原创性/价值

作者弥合了关于业绩持久性的文献与关于金融市场非专业人士的新兴文献之间的差距。芝商所交易挑战赛的数据为研究非专业人士的信念提供了丰富的资源，这项研究有助于理解在模拟交易中操作的信念如何在短期内表现，从而深入了解非专业人士的行为动态金融市场。结果为非专业人士的绩效持续性提供了新的经验证据。