Commodity Trading Advisors

Risk Performance Analysis, and Selection

By: Greg N. Gregoriou, Vassilios Karavas, François-Serge Lhabitant, Fabrice Rouah

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Product code: 20400
ISBN: 0471681946
424 pages
Format: Hb
Published by: John Wiley & Sons, 2004, 1st edition

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Commodity Trading Advisors - front page cover image

Description of Commodity Trading Advisors

Authoritative, up-to-date research and analysis that provides a dramatic new understanding of the rewards - and risks - of investing in CTAs.

Commodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth individuals. Commodity Trading Advisors is one of the first books to study their performance in detail and analyze the "survivorship bias" present in CTA performance data.

This book investigates the many benefits and risks associated with CTAs, examining the risk/return characteristics of a number of different strategies deployed by CTAs from a sophisticated investor’s perspective.

A contributed work, its editors and contributing authors are among today’s leading voices on the topic of commodity trading advisors and a veritable "Who’s Who" in hedge fund and CTA research.

Commodity Trading Advisors - Chapter headings

SECTION I: PERFORMANCE

1. Managed Futures and Hedge Funds: A Match Made in Heaven (Harry M. Kat)

2. Benchmarking the Performance of CTAs (Lionel Martellini & Mathieu Vaissié)

3. Performance of Managed Futures: Persistence and the Source of Returns (B. Wade Brorsen & John P. Townsend)

4. CTA Performance, Survivorship Bias and Dissolution Frequencies (Daniel Capocci)

5. Commodity Trading Advisor Performance Evaluation with Data Envelopment Analysis (Kathryn Wilkens, Gwenevere Darling and Kankana Mukherjee)

6. The Performance of CTAs in Changing Market Conditions (Georges Hübner & Nicolas Papageorgiou)

7. CTA Appraisal Using Data Envelopment Analysis (Fernando Diz, Greg N. Gregoriou, Fabrice Rouah and Stephen Satchell)

SECTION II: VOLATILITY

8. The Effect of Large Hedge Fund and CTA Trading on Futures Market Volatility (Scott H. Irwin k& Bryce R. Holt)

9. Measuring the Long Volatility Strategies of Managed Futures (Mark Anson and Ho Ho)

10. The Interdependence of Managed Futures Risk Measures (Bashwar Gupta and Manolis Chatiras)

11. Managing Downside Risk in Return Distributions Using Hedge Funds, Managed Futures and Commodity Indices (Mark Anson)

SECTION III: MANAGED FUTURES INVESTING, FEES AND REGULATION

12. Managed Futures Investing (James Hedges)

13. The Effect of Management and Incentive Fees on the Performance of Commodity Trading Advisors: A Note (Fernando Diz)

14. Managed Futures Funds and Other Fiduciary Products–The Australian Regulatory Model (Paul U. Ali)

SECTION IV: PROGRAM EVALUATION, SELECTION, DIVERSIFICATION and RETURNS

15. How to Design a Commodity Trading Futures Program (Hillary Till and Joseph Eagleeye)

16. Choosing the Right CTA: A Contingent Claim Approach (Zsolt Berenyi)

17. CTA's and Portfolio Diversification: A Study Through Time (Nicolas Laporte)

18. Random Walk Behavior of CTAs (Greg N. Gregoriou and Fabrice Rouah)

19. CTA Strategies for Returns-Enchacing Diversification (David Kuo Chuen Lee, Francis Koh, Kok Fai Phoon)

20. Incorporating CTA into the Asset Allocation Process: A Mean-Modified VaR Framework (Maher Kooli)

21. ARMA Modelling of CTA Returns (Vassilios N. Karavasand L. Joe Moffitt)

22. Risk-Adjusted Returns of CTA's: Using the Modified Sharpe Ratio (Robert Christopherson and Greg N. Gregoriou)

23. Time Diversification: The Case of Managed Futures (François-Serge Lhabitant and A. Green)

Authobiography of Greg N. Gregoriou, Vassilios Karavas, François-Serge Lhabitant, Fabrice Rouah

Greg N. Gregoriou (Plattsburgh, NY) is a Visiting Assistant Professor of Finance and Research Coordinator in the School of Business and Economics at the State University of New York.

Vassilios N. Karavas (Amherst, MA) is Director of Research at Schneeweis 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). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathématique de Montréal Scholar in the finance program at McGill University.