Download Commodity Trading Advisors: Risk, Performance Analysis, and by Greg N. Gregoriou PDF

By Greg N. Gregoriou

ISBN-10: 0471681946

ISBN-13: 9780471681946

I've got examine 50 books on funds administration, buying and selling, and making an investment. each e-book up until eventually this one supplied little gold nuggets of knowledge to assist my making an investment. This e-book was once so tricky to learn it was once like from one other global. here's an instance of what you will discover within the book:

Data envelopment research, a mathematical programming strategy, used to be first constructed by means of Charnes, to degree the potency or functionality of person decision-making devices (DMU's) in generating a number of outputs from a number of inputs. not like a parametric strategy, which calls for the researcher to make occasionally arbitrary assumptions in regards to the functional... You get the drift.

Anyway this ebook was once a whole waste of cash. I kick myself for now not doing right study ahead of spending my $55. The publication isn't worthy in determining a CTA. the one factor this ebook is sweet for is beginning a hearth. i'm going to placed it with my tenting stuff and use it for that objective.

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Additional resources for Commodity Trading Advisors: Risk, Performance Analysis, and Selection

Example text

We use this “median portfolio” to represent hedge funds. Managed futures are represented by the Stark 300 index. This assetweighted index is compiled using the top 300 trading programs from the Daniel B. Stark & Co. 1 The top 300 trading programs are determined quarterly based on assets under management. When a trading program closes down, the index does not get adjusted backward, which takes care of survivorship bias issues. All 300 of the CTAs in the index are classified by their trading approach and market category.

The advantage is twofold: First, the index is, by construction, more representative of the investment universe. Second, it is less prone to measurement biases such as survivorship, backfilling, or stale price bias. This second point is crucial because, as evidenced in Asness, Krail, and Liew (2001) and Okunev and White (2002), biases, and especially stale prices, may entail a significant downward bias with respect to risk factor exposure measurement. We should thus be able to identify purer risk factor exposures with the Edhec CTA Index.

It also has analyzed CTA return characteristics and the extent to which investors would be better off integrating CTAs in their global allocation. Further research should now focus on identifying a conditional model with potentially nonlinear risk factors to replicate the Edhec CTA Global Index and measure CTA performance. CHAPTER 3 Performance of Managed Futures: Persistence and the Source of Returns B. Wade Brorsen and John P. Townsend anaged futures investments are shown to exhibit a small amount of performance persistence.

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Commodity Trading Advisors: Risk, Performance Analysis, and Selection by Greg N. Gregoriou


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