commodity trading advisors risk, performance analysis, and selection
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 2 pptx
... 2. 8 2. 0 −1.9 2. 7 2. 9Goldman Sachs 0 .21 0 .26 0.14 0.16 0.13 Commodity IndexT-stats 3.3 2. 7 3.0 3 .2 2.8Chg in VIX −0.03T-stats −1.4c 02_ gregoriou.qxd 7 /27 /04 11:00 AM Page 20 18 CHAPTER 2 Benchmarking ... general, and hedge funds in particular (see Amenc, Martellini, and Vaissié 20 03;Amin and Kat 20 02, 20 03b; Anjilvel Boudreau, Urias, and Peskin 20 00;Brooks and Kat 20 02; Cerrahoglu and Pancholi 20 03; ... and Daglioglu 20 03; Kat and Miffre 20 02; Kazemi and Schneeweis 20 03) and/ or models including nonlinear risk factors (see Agarwal and Naïk 20 04; Fung and Hsieh 1997a, 20 02b, 20 03; Schneeweis, Spurgin, and Georgiev...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 3 docx
... 577 435 1,071Percentage returnsMean 0 .31 0.62 1.28SD 7.68 9.22 10. 53 Minimum − 232 .69 −224.81 − 135 .48Maximum 229. 73 188. 93 239 .79Skewness −2.08 −0.49 1.14Kurtosis 133 .91 40.70 24 .34 c 03_ gregoriou.qxd ... Data Subgroups 1a2b 3 c4dMean returnstop 1 /3 3.21 2.77 2.57 1.48middle 1 /3 1.87 2.09 1.85 1 .30 bottom 1 /3 0.80 1.41 1.15 1.14top 3 4. 93 3.47 3. 26 1.68bottom 3 −1.60 1.14 0.86 1.06p-valuesreject-positive ... εεσi2110,,, ,,~(,)KKandiic 03_ gregoriou.qxd 7/27/04 11: 03 AM Page 33 31 CHAPTER 3 Performance of ManagedFutures: Persistence and the Source of ReturnsB. Wade Brorsen and John P. TownsendManaged...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 4 ppsx
... 7.60 1.17 −20 .4 57 .4 2 .48 16. 14 0.19Discretionary 299 16% 67 232 2.03 9.93 3.01 1.31 −3.9 18.8 2 .42 9. 24 0. 54 Systematic 897 47 % 350 547 1.70 4. 73 5.27 0.83 −8.3 26 .4 1.86 6.35 0. 24 Stock Index ... 0.99***0 .44 D1b 2.17 0.02 −0. 04 D1b −1.73 0.88**0.00 D1b 0. 04 0 .44 ***0.20D1c −0.78 0. 94 **0.03 D1c 1.15 0.32 -0.03 D1c 0. 74 **0.70***0.18D10b 0 .41 0. 64 ***0.15 D10a −0.13 1. 04 ***0.68 ... RatioTechnicalDiversified 2 64 14% 44 220 1.72 5.38 4. 70 0.83 −6.9 31.6 3.02 14. 68 0.28TechnicalFinancial/Metals 86 5% 11 75 1.78 6.33 4. 12 0.95 −5.2 29.8 2.95 14. 11 0.33TechnicalCurrency 58 3% 18 40 1.58 6 .49 3.58...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 5 pdf
... style1488 PERFORMANCE 750 850 950 1, 050 1, 150 1, 250 1, 350 1, 450 1 ,55 0Date11-Mar-9818-May-9824-Jul-9830-Sep-987-Dec-9816-Feb-9923-Apr-9930-Jun-997-Sep-9911-Nov-9920-Jan-0028-Mar-00 5- Jun-0010-Aug-0017-Oct-0022-Dec-00 5- Mar-0110-May-0118-Jul-0128-Sep-01 5- Dec-0114-Feb-0224-Apr-021-Jul-026-Sep-0212-Nov-02Daily ... <2 .5 23 15 2 .5 – < ;5 14 9 2 .5 – < ;5 17 11 5 – <10 13 8 5 – <10 17 1110 – <20 25 16 10 – <20 15 1020 – <30 8 5 20 – <30 17 1130 – <40 14 9 30 – <40 11 740 – < ;50 ... – < ;50 9 6 50 – <100 27 17 50 – <100 14 9100 – < 150 7 4 100 – < 150 8 5 150 – <200 2 1 150 – <200 5 3200 – <400 14 9 200 – <400 15 10400+ 8 5 400+ 64Overall 157 100...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 6 potx
... 0.200.30 0.05 6. 72 −4 .64 2.23 0.48 3.23 6. 88*Financial and 0 .63 0.12 6. 72 −3.84 2.04 0.80 3 .67 5. 96 *Metal Traders 0.18 0.15 5.88 −4 .64 2.44 0.39 3.05 1.47Index −0.71 −1.04 1.51 −3. 16 1.35 0.03 ... 9.71 6. 13 3.15 0. 46 3.40 1.99CTA 0.28 0.04 5.95 −5.18 2. 56 0.30 2.73 1.04Index −0.42 −0.81 2.24 −4 .62 1.70 −0.41 3.22 0.550.41 0. 36 6.31 −4 .66 2.53 0.28 3.00 0.400.42 −0.04 14.17 −7.91 3. 46 ... 0.470 .64 0.53 7.97 6. 01 3.40 0.18 2 .67 0.29−0.02 −0.05 7.85 −3. 26 1.44 1.07 7 .63 181**0.29 −0.03 7.85 −3. 26 1.71 1.71 9.33 103**Discretionary −0.30 −0.48 3.92 −2 .61 1.33 0 .68 3.71 5. 56 *Traders...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 7 docx
... Investments Inc. 58.88 17. 00 17. 65 0 .72 100 47. 75144c 07_ gregoriou.qxd 7/ 27/ 04 11:11 AM Page 144 TABLE 7. 1 Number of Efficient and Nonefficient and Summary Statistics for CTAs, 19 97 2001 and 1999–2001Cross- ... Mgmt. 9.81 3. 67 10. 57 −1.00 100 —DKR Capital Inc. 67. 26 17. 48 6 .71 1. 97 100 79 .34TWR Mgmt. Corp. 38.86 11.50 10.23 0 .71 100 41.96c 07_ gregoriou.qxd 7/ 27/ 04 11:11 AM Page 145 funds and determine ... 0 .72 100 56.66City Fund Mgmt. Ltd. 53. 07 8 .73 6. 27 0 .72 100 48. 47 Eckhardt Trading Company 120. 07 17. 35 17. 93 0 .73 100 55.93IIU Asset Strategies 49.99 0 .70 2.30 0.53 100 63.96Marathon Capital...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 8 pot
... %Coffee 8, 081 24,330 2.60 5,072 19,7 18 1.69Copper 8, 013 32, 585 1.03 5,9 38 22,515 1.15Corn 23, 984 121,230 0.90 26 ,84 9 127,3 78 0 .84 Cotton 5,170 26,094 0.92 4,3 28 21,796 0 .88 Crude oil 50 ,89 7 96,306 ... 96,306 1.43 40,640 80 , 689 1.33Deutschemark 42 ,89 5 92, 186 0.47 33,130 71,3 28 0.46Eurodollar 145,505 446,932 0.05 82 ,709 329,2 68 0.05Gold 28, 810 82 ,344 0.49 27,094 69 ,87 8 0.52Live hogs 2,639 ... 0.95Naturalgas 9 ,88 0 22,409 1.69 8, 002 19,614 1.77S&P 500 65,700 190,626 0.52 54,1 98 150,675 0. 68 Soybeans 26,922 68, 876 0 .89 25,976 60,649 0 .88 Treasurybonds 392,204 363,407 0.61 294, 987 307,3 08 0.49Note:...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 9 ppt
... three Barclay Commodity Trading Advisorindices to capture the trading dynamics of the CTA market: Commodity Trading Index, Diversified Commodity Trading Advisor Index, and System-atic Trading Index. ... −0.0485 −0. 092 6Alpha_low −0.0158 −1.2 699 −0.0 793 −1.7150 −0.0175 −1.2127 −0.0437 −1.7743Beta_low −0. 396 2 −2.1083 −1.1018 −2. 191 1 −0. 492 3 −2.1703 −0.5 893 −2.3223Alpha_high 0.0014 0.0043 0.00 29 0.0022Beta_high ... −1.17 59 −0.1384 −2.0820 −0.0717 −0 .93 65 −0. 092 9 −3.2138S.E. 0.0264 0.0353 0.0343 0.0155RegressionR square 0.0555 0.0745 0.0520 0.1203Adj R square 0.0437 0.06 29 0.0402 0.1 094 190 c 09_ gregoriou.qxd...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 10 pps
... strategy. Tables 10. 1, 10. 3, 10. 5, 10. 7, and 10. 9. present annualized returns, standard devi-ations, and Sharpe ratios of these portfolios and Tables 10. 2, 10. 4, 10. 6, 10. 8, and 10. 10 present the ... non-trend 210 RISK AND MANAGED FUTURES INVESTINGTABLE 10. 3 Summary Statistics for Currency Portfoliosc10_gregoriou.qxd 7/27/04 11:22 AM Page 210 TABLE 10. 10 Correlations for Stock Portfolios218c10_gregoriou.qxd ... CHAPTER 10 CHAPTER 10 The Interdependence of ManagedFutures Risk MeasuresBhaswar Gupta and Manolis Chatiras Practitioners today are faced with a wide choice of methods to measurereturn and...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 11 ppt
... CHAPTER 11 220 CHAPTER 11 Managing Downside Risk inReturn Distributions Using HedgeFunds, Managed Futures, and Commodity Indices Mark AnsonThis chapter examines how ... RISK AND MANAGED FUTURES INVESTINGc11_gregoriou.qxd 7/27/04 11: 26 AM Page 226 TABLE 11. 3 Downside Risk Protection Using Managed FuturesNumber of Cumulative Cumulative CumulativeExpected Standard ... Table 11. 3 we adjust the cumulative downside protection, the cumulative returnpotential, and the cumulative performance improvement for this shorter time period.c11_gregoriou.qxd 7/27/04 11: 26...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 12 docx
... futures products and discusses recent proposals to reform the regulation of individually managedfutures accounts. CHAPTER 12 234 MANAGED FUTURES INVESTING, FEES, AND REGULATIONc12_gregoriou.qxd ... the supply and demand of a particular commodity to predictfuture prices. Such factors include the nature of the economy, govern-mental policies, domestic and foreign political events, and the ... specific commodity, it must demonstrate that the contract reflectsthe normal market flow and commercial trading practices in the actual commodity. The commission conducts daily market surveillance and...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 13 pps
... regression equations 13. 2 and 13. 3 maysubstantially alter the size, sign, and level of statistical significance of theirThe Effect of Management and Incentive Fees on the Performance of CTAs ... management can and often do include notional assetsbReported returns are net of management and incentive fees.c13_gregoriou.qxd 7/27/04 11:30 AM Page 250 CHAPTER 13 The Effect of Management and Incentive ... Management and Incentive Fees on the Performance of CTAs: A NoteFernando DizThis chapter examines the effect of management and incentive fees on the performance and volatility of CTA track records....
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 14 potx
... private managed futures funds and IMAs, in contrast, arenot financial products, and such funds and accounts therefore fall outsidethe scope of Chapter 7 (sections 762A(3) and 765(1)(s)).12If an ... bank bill, interest rateswap, and treasury bond futures contracts) accounted for 89.4 percent and 88.7 percent of the total trading volume in the first half of 2003 and thewhole of 2002 respectively, ... mutual funds is dis-cussed further by Ali, Stapledon, and Gold (2003) and Baxt, Black, and Hanrahan (2003) respectively.Managed Futures Funds and Other Fiduciary Products 2678An investor is a...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 15 pps
... pure random walk behavior is identified. Chapter 19 examines the risk and performance characteristics of dif-ferent strategies involving the trading of commodity futures, financialfutures, and ... futures277c15_gregoriou.qxd 7/27/04 11:34 AM Page 277 PARTFourProgram Evaluation, Selection, and Returns Chapter 15 discusses the issues involved in setting up a commodity futures trading program ... “Speculation and Hedging.” Food ResearchInstitute Studies, Supplement 7, (1967): 100.c15_gregoriou.qxd 7/27/04 11:34 AM Page 278 CHAPTER 15 How to Design a Commodity Futures Trading Program...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 16 pdf
... givenasset/CTA and vice versa.300 PROGRAM EVALUATION, SELECTION, AND RETURNSc16_gregoriou.qxd 7/27/04 11:36 AM Page 300 TABLE 16. 1 Simple Rank Correlation Between Particular Performance Measures ... based on past performance. This chapter reviews the performance of a series of managed futuresfunds with a contingent claim–based efficiency measure, which is based ona moment-based performance ... formulated: (16. 2)subject totarget variancetarget skewness (16. 3) and the constraints on the portfolio weightswhere E(ri) = expected return on asset is02s03= target values for variance and...
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