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Commodity Trading Advisors: Risk, Performance Analysis, and Selection


Praise for Commodity Trading Advisors

"This book represents a complete course in the hows and whys of investing with CTAs. Institutional and individual investors would be wise to understand the issues raised here in order to properly control their CTA investments."
–Richard E. Oberuc, Chairman of the Foundation of Managed Derivatives Research

"The editors of this wonderful book rightfully identified a crying need and filled it very well. The book provides a great comprehensive review of the Commodity Trading Advisors marketplace and uses extremely well-respected authors to write about all the critical individual issues. The book should be on the night table of anyone seriously considering or managing investments in that space."
–Jean L.P. Brunel, Managing Principal, Brunel Associates LLC

"This reader contains a remarkably complete and accessible collection of papers on managed futures and commodity funds. I congratulate the editors as, yet again, they present only the research that is genuinely important for investors. It can be the investor's ‘one-stop guide' to maximizing the benefits of portfolio diversification using Commodity Trading Advisors."
–Carol Alexander, Chair of Risk Management and Director of Research
ISMA Centre, Business School, University of Reading

"The editors of Commodity Trading Advisors are to be congratulated for bringing together an excellent collection of articles that are a blend of theoretical, empirical, and practical analysis. The book offers penetrating insights from both academics and practitioners who are at the forefront of research in the area of alternative investments. I recommend that every serious investor or researcher have a copy of this book on their desk."
–Hossein Kazemi, Associated Director of CISDM, Isenberg School of Management

"An outstanding collection of articles on Commodity Trading Advisors! This book serves as a key reference for anyone interested in issues relating to risks, performance, benchmarking, manager selection and evaluation, and regulation in the alternative investment industry. A definitive addition to your collection!"
–Vikas Agarwal, Assistant Professor of Finance
J. Mack Robinson College of Business, Georgia State University

"The book provides a thorough and much-needed discussion on the many facets and properties of their investment strategies. The editors are to be congratulated on their compilation of so many expert views on one of the most fascinating disciplines in modern finance."
–Dr. Lars Jaeger, Partner, Partners Group

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 Mathématique de Montréal for three years. He has authored over twenty professional articles in brokerage and pension fund magazines in Québec 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).

FRANÇOIS-SERGE LHABITANT is a Member of Senior Management at Union Bancaire Privée 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 Mathématique de Montréal (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.



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 Vaissié).

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 Hübner 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).