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

Über die Autorin bzw. den Autor

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). FRANAaOIS--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.

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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

Aus dem Klappentext

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.