From the Inside FlapCommodity Trading Advisors (CTAs) use proprietary syndication programs that buy and trade 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, undertake to seize chances in a potpourri 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 fetch together the best minds in the business to make an analyzation of 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 distinctive resource holds articles that cover a wide range of CTA issues, including:
- The performance of CTAs in altering market conditions
- Simple and cross efficacy of CTAs using data envelopment analysis
- The effect of big hedge fund and CTA syndication on futures market volatility
- Measuring the long volatility schemes of managed futures
- Managed futures funds and other fiduciary products
- Choosing the right CTA
- How to design a commodity syndication futures program
Although much of the info related to CTAs may be technical in nature, Commodity Trading Advisors distills the cognition of experts within this field in the most straightforward and accessible way possible. You’ll become intimate with a heap of of the gains and risks related with CTAs as well as the risk/return characteristics of a number of dissimilar schemes imposed by them. You’ll likewise learn when it comes to necessary CTA selection and monitoring issues, such as evaluation, returns, and tracking.
Filled with in-depth perceptivenesses and practical advice, Commodity Trading Advisors may aid you–whether you’re an institutional investor, pension fund manager, endowment fund, or high-net-worth individual–understand the complexities of this substitute investment opportunity, and show you how to use CTAs as a portfolio diversification tool that may mitigate downside risk in any market.
From the Back CoverPraise for Commodity Trading Advisors
"This book represents a finish course in the hows and whys of laying out capital with CTAs. Institutional and person investors would be wise to grasp the issues raised here in order to decently control their CTA investments."
–Richard E. Oberuc, Chairman of the Foundation of Managed Derivatives Research
"The editors of this fantasti book rightfully identified a crying need and filled it very well. The book provides a outstanding comprehensive review of the Commodity Trading Advisors marketplace and uses exceedingly well-respected writers to write when it comes to all the critical person issues. The book ought to be on the night table of any individual gravely giving careful consideration to or managing investments in that space."
–Jean L.P. Brunel, Managing Principal, Brunel Associates LLC
"This reader holds a outstandingly finish and accessible collection of papers on managed futures and commodity funds. I felicitate the editors as, yet again, they present only the exploration that is veritably crucial for investors. It may be the investor’s ‘one-stop guide’ to maximizing the gains 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 splendid collection of articles that are a blend of theoretical, empirical, and practical analysis. The book offers penetrating perceptivities from both academics and practitioners who are at the forefront of exploration in the area of substitute investments. I commend that each severe capitalist or researcher have a copy of this book on their desk."
–Hossein Kazemi, Associated Director of CISDM, Isenberg School of Management
"An great collection of articles on Commodity Trading Advisors! This book serves as a key reference for anybody mesmerized in issues relating to risks, performance, benchmarking, manager selection and evaluation, and regulation in the substitute 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 exhaustive and much-needed discussion on the a heap of facets and properties of their investment strategies. The editors are to be congratulated on their compilation of so some expert views on one of the most arousing and attention holding disciplines in innovative finance."
–Dr. Lars Jaeger, Partner, Partners Group
About the AuthorGREG 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 esteemed 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 presently provides hedge fund and CTA quantitative and qualitative exploration for a huge Canadian firm and specializes in the construction and monitoring of funds of hedge funds using modern statistical techniques.
VASSILIOS N. KARAVAS is presently Director of Research at Schneeweis Partners in Amherst, Massachusetts. His exploration focus is on substitute 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 exploration 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 exploration and risk analysis of the Alternative Asset Management Group. He was antecedently a conductor 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 emergent markets.
FABRICE ROUAH is an Institut de Finance Mathématique de Montréal (IFM2) Scholar, and a PhD prospect 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 substitute investments.
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