Book Categories

Description of Commodity Trading Advisors

This is an 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.

Title Information

ISBN:

9780471681946

Pages:

424 pages

Format:

Hardback

Product Code:

20400

Publisher:

John Wiley & Sons Inc

Published:

02/11/2004

Edition:

1st Edition

Write a review of this book

Customer Reviews from Amazon

About Greg N. Gregoriou (Editor) and Vassilios Karavas (Editor) and François–Serge Lhabitant (Editor) and Fabrice Douglas Rouah (Editor)

GREG N. GREGORIOU is Assistant Professor of Finance and Faculty Research Coordinator in the School of Business and Economics at the State University of New York (Plattsburgh). He is the hedge fund editor for Derivatives Use, Trading & Regulation, a peer-reviewed publication based in London, and was awarded the prestigious scholarship from the Institut de Finance Mathematique de Montreal for three years. He has authored over twenty professional articles in brokerage and pension fund magazines in Quebec and Canada. He currently provides hedge fund and CTA quantitative and qualitative research for a large Canadian firm and specializes in the construction and monitoring of funds of hedge funds using advanced statistical techniques.

VASSILIOS N. KARAVAS is currently Director of Research at Schneeweis Partners in Amherst, Massachusetts. His research focus is on alternative optimization techniques, ranging from disequilibrium market models to hedge fund portfolio selection. Vassilios holds a PhD in Operations Research from the University of Massachusetts at Amherst, an MS, and a Diploma in Industrial Engineering from the Technical University of Crete-Chania, Greece. He is also a research associate of the Center for International Securities and Derivatives Markets (CISDM).

FRANCOIS-SERGE LHABITANT is a Member of Senior Management at Union Bancaire Privee in Geneva, where he heads the quantitative research and risk analysis of the Alternative Asset Management Group. He was previously a director at UBS Global Asset Management in charge of quantitative modeling. He is a FAME Research Fellow, a Research Associate at EDHEC (France), and Professor of Finance at HEC University of Lausanne (Switzerland). He is author of two books on hedge fund investing and emerging markets.

FABRICE ROUAH is an Institut de Finance Mathematique de Montreal (IFM2) Scholar, and a PhD candidate in finance at McGill University in Montreal. He is a former faculty lecturer and consulting statistician in the Department of Mathematics and Statistics at McGill University. He specializes in the statistical and stochastic modeling of hedge funds, managed futures, and CTAs, and is a regular contributor in peer-reviewed academic publications on alternative investments.

Contents of Commodity Trading Advisors

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 Vaissi)

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 Hibner & 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 (Francois-Serge Lhabitant and A. Green)