Commodity Trading Advisors
Risk, Performance Analysis, and Selection
Published on 6. October 2004
416 pages
978-0-471-68989-8 (ISBN)
Description
Authoritative, up-to-date research and analysis that provides adramatic new understanding of the rewards-and risks-of investing inCTAs
Commodity Trading Advisors (CTAs) are an increasingly popular andpotentially profitable investment alternative for institutionalinvestors and high-net-worth individuals. Commodity TradingAdvisors is one of the first books to study their performance indetail and analyze the "survivorship bias" present in CTAperformance data. This book investigates the many benefits andrisks associated with CTAs, examining the risk/returncharacteristics of a number of different strategies deployed byCTAs from a sophisticated investor's perspective. A contributedwork, its editors and contributing authors are among today'sleading voices on the topic of commodity trading advisors and averitable "Who's Who" in hedge fund and CTA research.
Greg N. Gregoriou (Plattsburgh, NY) is a Visiting AssistantProfessor of Finance and Research Coordinator in the School ofBusiness and Economics at the State University of New York.Vassilios N. Karavas (Amherst, MA) is Director of Research atSchneeweis Partners. Francois-Serge Lhabitant (Coppet, Switzerland)is a FAME Research Fellow, and a Professor of Finance at EDHEC(France) and at HEC University of Lausanne (Switzerland). FabriceRouah (Montreal, Quebec) is Institut de Finance Mathématiquede Montréal Scholar in the finance program at McGillUniversity.
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Greg N. Gregoriou | Vassilios Karavas | Fabrice D. Rouah
Commodity Trading Advisors
Risk, Performance Analysis, and Selection
Book
09/2004
Wiley
€93.90
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Persons
GREG N. GREGORIOU is Assistant Professor of Finance and FacultyResearch Coordinator in the School of Business and Economics at theState University of New York (Plattsburgh). He is the hedge fundeditor for Derivatives Use, Trading & Regulation, apeer-reviewed publication based in London, and was awarded theprestigious scholarship from the Institut de FinanceMathématique de Montréal for three years. He has authoredover twenty professional articles in brokerage and pension fundmagazines in Québec and Canada. He currently provides hedgefund and CTA quantitative and qualitative research for a largeCanadian firm and specializes in the construction and monitoring offunds of hedge funds using advanced statistical techniques.
VASSILIOS N. KARAVAS is currently Director of Research atSchneeweis Partners in Amherst, Massachusetts. His research focusis on alternative optimization techniques, ranging fromdisequilibrium market models to hedge fund portfolio selection.Vassilios holds a PhD in Operations Research from the University ofMassachusetts at Amherst, an MS, and a Diploma in IndustrialEngineering from the Technical University of Crete-Chania, Greece.He is also a research associate of the Center for InternationalSecurities and Derivatives Markets (CISDM).
FRANÇOIS-SERGE LHABITANT is a Member of Senior Managementat Union Bancaire Privée in Geneva, where he heads thequantitative research and risk analysis of the Alternative AssetManagement Group. He was previously a director at UBS Global AssetManagement in charge of quantitative modeling. He is a FAMEResearch Fellow, a Research Associate at EDHEC (France), andProfessor of Finance at HEC University of Lausanne (Switzerland).He is author of two books on hedge fund investing and emergingmarkets.
FABRICE ROUAH is an Institut de Finance Mathématique deMontréal (IFM2) Scholar, and a PhD candidate in finance atMcGill University in Montreal. He is a former faculty lecturer andconsulting statistician in the Department of Mathematics andStatistics at McGill University. He specializes in the statisticaland stochastic modeling of hedge funds, managed futures, and CTAs,and is a regular contributor in peer-reviewed academic publicationson alternative investments.
Content
Preface.
Acknowledgments.
About the Editors.
About the Authors.
Introduction.
PART ONE: Performance.
CHAPTER 1: Managed Futures and Hedge Funds: A Match Made inHeaven (Harry M. Kat).
CHAPTER 2: Benchmarking the Performance of CTAs (LionelMartellini and Mathieu Vaissié).
CHAPTER 3: Performance of Managed Futures: Persistence and theSource of Returns (B. Wade Brorsen and John P.Townsend).
CHAPTER 4: CTA Performance, Survivorship Bias, and DissolutionFrequencies (Daniel Capocci).
CHAPTER 5: CTA Performance Evaluation with Data EnvelopmentAnalysis (Gwenevere Darling, Kankana Mukherjee, andKathryn Wilkens).
CHAPTER 6: The Performance of CTAs in Changing Market Conditions(Georges Hübner and Nicolas Papageorgiou).
CHAPTER 7: Simple and Cross-Efficiency of CTAs Using DataEnvelopmennt Analysis (Fernando Diz, Greg N. Gregoriou, FabriceRouah, and Stephen E. Satchell).
PART TWO: Risk and Managed Futures Investing.
CHAPTER 8: The Effect of Large Hedge Fund and CTA Trading onFutures Market Volatility (Scott H. Irwin and Bryce R.Holt).
CHAPTER 9: Measuring the Long Volatility Strategies of ManagedFutures (Mark Anson and Ho Ho).
CHAPTER 10: The Interdependence of Managed Futures Risk Measures(Bhaswar Gupta and Manolis Chatiras).
CHAPTER 11: Managing Downside Risk in Return Distributions UsingHedge Funds, Managed Futures, and Commodity Indices (MarkAnson).
PART THREE: Managed Futures Investing, Fees, andRegulation.
CHAPTER 12 Managed Futures Investing (James HedgesIV).
CHAPTER 13: The Effect of Management and Incentive Fees on thePerformance of CTAs: A Note (Fernando Diz).
CHAPTER 14: Managed Futures Funds and Other Fiduciary Products:The Australian Regulatory Model (Paul U. Ali).
PART FOUR: Program Evaluation, Selection, andReturns.
CHAPTER 15: How to Design a Commodity Futures Trading Program(Hilary Till and Joseph Eagleeye).
CHAPTER 16: Choosing the Right CTA: A Contingent Claim Approach(Zsolt Berenyi).
CHAPTER 17: CTAs and Portfolio Diversification: A Study throughTime (Nicolas Laporte).
CHAPTER 18: Random Walk Behavior of CTA Returns (Greg N.Gregoriou and Fabrice Rouah).
CHAPTER 19: CTA Strategies for Returns-Enhancing Diversification(David Kuo Chuen Lee, Francis Koh, and Kok FaiPhoon).
CHAPTER 20: Incorporating CTAs into the Asset AllocationProcess: A Mean-Modified Value at Risk Framework (MaherKooli).
CHAPTER 21: ARMA Modeling of CTA Returns (Vassilios N.Karavas and L. Joe Moffitt).
CHAPTER 22: Risk-Adjusted Returns of CTAs: Using the ModifiedSharpe Ratio (Robert Christopherson and Greg N.Gregoriou).
CHAPTER 23: Time Diversification: The Case of Managed Futures(François-Serge Lhabitant and Andrew Green).
REFERENCES.
INDEX.
