Commodity Trading Advisors: Risk, Performance Analysis, and Selection (Wiley Finance) (Hardcover)

by Greg N. Gregoriou (Editor), Vassilios Karavas (Editor), François-Serge Lhabitant (Editor), Fabrice Douglas Rouah (Editor) "Hedge funds are often said to provide investors with the best of both worlds: an expected return similar to equity combined with a risk similar..." (more)
Key Phrases: dissolution frequencies, variance ratio test results, systematic advisors, Lehman Global, Skewness Kurtosis, Weak Bull (more...)

Editorial Reviews

Product Description
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 Mathématique de Montréal Scholar in the finance program at McGill University.

From the Inside Flap
Commodity Trading Advisors (CTAs) use proprietary trading programs that buy and sell commodities and financial futures around the globe. Different than hedge fund and long-only portfolio managers, they don’t follow any stock or bond market trends, but rather, attempt to seize opportunities in a variety of commodity and financial futures markets. The investment potential of CTAs is undeniable, yet little has been done to study their performance in detail--until now.

In Commodity Trading Advisors: Risk, Performance Analysis, and Selection editors Greg Gregoriou, Vassilios Karavas, François-Serge Lhabitant, and Fabrice Rouah bring together the best minds in the business to analyze CTAs from both a quantitative and qualitative perspective. Divided into four comprehensive sections--Performance; Risk and Managed Futures Investing; Managed Futures Investing, Fees, and Regulation; and Program Evaluation, Selection, Diversification, and Returns--this unique resource contains articles that cover a wide range of CTA issues, including:

• The performance of CTAs in changing market conditions
• Simple and cross efficiency of CTAs using data envelopment analysis
• The effect of large hedge fund and CTA trading on futures market volatility
• Measuring the long volatility strategies of managed futures
• Managed futures funds and other fiduciary products
• Choosing the right CTA
• How to design a commodity trading futures program

Although much of the information related to CTAs can be technical in nature, Commodity Trading Advisors distills the knowledge of experts within this field in the most straightforward and accessible way possible. You’ll become familiar with many of the benefits and risks associated with CTAs as well as the risk/return characteristics of a number of different strategies implemented by them. You’ll also learn about important CTA selection and monitoring issues, such as evaluation, returns, and tracking.

Filled with in-depth insights and practical advice, Commodity Trading Advisors can help you--whether you’re an institutional investor, pension fund manager, endowment fund, or high-net-worth individual--understand the complexities of this alternative investment opportunity, and show you how to use CTAs as a portfolio diversification tool that can mitigate downside risk in any market.

See all Editorial Reviews

Product Details

• Hardcover: 424 pages
• Publisher: Wiley (September 24, 2004)
• Language: English
• ISBN-10: 0471681946
• ISBN-13: 978-0471681946
• Product Dimensions: 9.2 x 6.2 x 1.5 inches
• Shipping Weight: 1.4 pounds (View shipping rates and policies)
• Average Customer Review: No customer reviews yet. Be the first.
• Amazon.com Sales Rank: #459,449 in Books (See Bestsellers in Books)