Commodity Trading Advisors : Risk, Performance Analysis, and Selection.
Greg N. Gregoriou
Bok Engelsk 2004 · Electronic books.
| Omfang | 1 online resource (450 pages)
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| Utgave | 1st ed.
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| Opplysninger | Intro -- Commodity Trading Advisors -- Contents -- Preface -- Acknowledgments -- About the Editors -- About the Authors -- Introduction -- PART ONE Performance -- CHAPTER 1 Managed Futures and Hedge Funds: A Match Made in Heaven -- CHAPTER 2 Benchmarking the Performance of CTAs -- CHAPTER 3 Performance of Managed Futures: Persistence and the Source of Returns -- CHAPTER 4 CTA Performance, Survivorship Bias, and Dissolution Frequencies -- CHAPTER 5 CTA Performance Evaluation with Data Envelopment Analysis -- CHAPTER 6 The Performance of CTAs in Changing Market Conditions -- CHAPTER 7 Simple and Cross-Efficiency of CTAs Using Data Envelopmennt Analysis -- PART TWO Risk and Managed Futures Investing -- CHAPTER 8 The Effect of Large Hedge Fund and CTA Trading on Futures Market Volatility -- CHAPTER 9 Measuring the Long Volatility Strategies of Managed Futures -- CHAPTER 10 The Interdependence of Managed Futures Risk Measures -- CHAPTER 11 Managing Downside Risk in Return Distributions Using Hedge Funds, Managed Futures, and Commodity Indices -- PART THREE Managed Futures Investing, Fees, and Regulation -- CHAPTER 12 Managed Futures Investing -- CHAPTER 13 The Effect of Management and Incentive Fees on the Performance of CTAs: A Note -- CHAPTER 14 Managed Futures Funds and Other Fiduciary Products: The Australian Regulatory Model -- PART FOUR Program Evaluation, Selection, and Returns -- CHAPTER 15 How to Design a Commodity Futures Trading Program -- CHAPTER 16 Choosing the Right CTA: A Contingent Claim Approach -- CHAPTER 17 CTAs and Portfolio Diversification: A Study through Time -- CHAPTER 18 Random Walk Behavior of CTA Returns -- CHAPTER 19 CTA Strategies for Returns-Enhancing Diversification -- CHAPTER 20 Incorporating CTAs into the Asset Allocation Process: A Mean-Modified Value at Risk Framework -- CHAPTER 21 ARMA Modeling of CTA Returns.. - CHAPTER 22 Risk-Adjusted Returns of CTAs: Using the Modified Sharpe Ratio -- CHAPTER 23 Time Diversification: The Case of Managed Futures -- REFERENCES -- INDEX.. - Authoritative, up-to-date research and analysis that provides adramatic new understanding of the rewards-and risks-of investing inCTAsCommodity 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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| ISBN | 9780471689898
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