GREG N.GREGORIOU – COMMODITY TRADING ADVISORS
up-to-date research and analysis that provides a dramatic new understanding of
the rewards-and risks-of investing in CTAs Greg N.Gregoriou – Commodity Trading
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.
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
Table of Contents
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). Greg N.Gregoriou – Commodity Trading Advisors
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). Greg N.Gregoriou – Commodity Trading Advisors
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). Greg N.Gregoriou – Commodity Trading Advisors
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).