Commodity Trading Advisors: Risk, Performance Analysis, and Selection

Commodity Trading Advisors: Risk, Performance Analysis, and Selection
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection

BY Greg N. Gregoriou (Editor), Vassilios Karavas (Editor), François-Serge Lhabitant (Editor), Fabrice Douglas Rouah (Editor)

Wiley Adobe E-Book 416 pages October 2004

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.

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 Math¨¦matique de Montr¨¦al Scholar in the finance program at McGill University.


Preface. Acknowledgments.

About the Editors.

About the Authors.


PART ONE: Performance.

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

CHAPTER 2: Benchmarking the Performance of CTAs (Lionel Martellini and Mathieu Vaissi¨¦).

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

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

CHAPTER 5: CTA Performance Evaluation with Data Envelopment Analysis (Gwenevere Darling, Kankana Mukherjee, and Kathryn Wilkens).

CHAPTER 6: The Performance of CTAs in Changing Market Conditions (Georges H¨¹bner and Nicolas Papageorgiou).

CHAPTER 7: Simple and Cross-Efficiency of CTAs Using Data Envelopmennt Analysis (Fernando Diz, Greg N. Gregoriou, Fabrice Rouah, and Stephen E. Satchell).

PART TWO: Risk and Managed Futures Investing.

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

CHAPTER 9: Measuring the Long Volatility Strategies of Managed Futures (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 Using Hedge Funds, Managed Futures, and Commodity Indices (Mark Anson).

PART THREE: Managed Futures Investing, Fees, and Regulation.

CHAPTER 12 Managed Futures Investing (James Hedges IV).

CHAPTER 13: The Effect of Management and Incentive Fees on the Performance 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, and Returns.

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 through Time (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 Fai Phoon).

CHAPTER 20: Incorporating CTAs into the Asset Allocation Process: A Mean-Modified Value at Risk Framework (Maher Kooli).

CHAPTER 21: ARMA Modeling of CTA Returns (Vassilios N. Karavas and L. Joe Moffitt).

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

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