performance risk and cost
performance measurement and costing system in new vietnamese companies
... method of measuring the cost and performance of activities and cost objects It assigns costs to activities based on their consumption of resources and then allocates costs to cost objects based on ... of performance measurement and costing system Benefits of performance measurement and costing system will be required to improve the competitiveness of new enterprises in the 21st century A performance ... following: What are the advantages and disadvantages of performance measurement and costing system? How to estimate the most suitable performance measurement and costing system in new Vietnamese...
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Addressing Air Emissions from the Petroleum Refinery Sector Risk and Technology Review and New Source Performance Standard Rulemaking pptx
... Units, and Sulfur Recovery Units Risk and Technology Review (RTR) ► ► 2007 proposed Risk and Technology Review amendments for non-combustion sources 2009 withdrew amendments related to risk review ... ecosystems and wildlife, climate change health risk to sensitive populations 18 Basics of Risk and Technology Review ► Risk Review ► CAA Section 112 (f)(2) requires EPA to review the MACT standard ... MACT and - Propose and promulgate RTR amendments and evaluate whether additional rule revisions are necessary Respond to issues raised in litigation and petitions 12 Refinery Processes and Emissions...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 2 pptx
... 2003b; Gupta, Cerrahoglu, and Daglioglu 2003; Kat and Miffre 2002; Kazemi and Schneeweis 2003) and/ or models including nonlinear risk factors (see Agarwal and Naïk 2004; Fung and Hsieh 1997a, 2002b, ... of CTA riskadjusted performance on a stand-alone basis MANAGED FUTURES IN THE ASSET ALLOCATION PROCESS: RETURN ENHANCERS, RISK REDUCERS, OR BOTH? On a stand-alone basis, CTAs offer better risk- adjusted ... 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...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 3 docx
... differences in costs There is no strong difference in performance persistence among CTAs, public funds, and private funds PERFORMANCE PERSISTENCE AND CTA CHARACTERISTICS Because some performance ... The return /risk measure (α/σ) clearly shows the most performance persistence This is consistent with McCarthy, Schneeweis, and Spurgin (1997), who found performance persistence in risk measures ... listed as both short and medium term, the observation was classed as short term If both medium and long term or all 41 Performance of Managed Futures TABLE 3.7 Mean and Standard Deviation of CTA...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 4 ppsx
... including a bull and a bear market period Further, we report the methodology used to analyze CTA performance and performance persistence before reporting the results of the performance analysis ... substantial degree of overall risk reduction at limited costs Managed futures appear to be more effective diversifiers than hedge funds Regarding performance, Edwards and Caglayan (2001) concluded ... Spurgin, and McCarthy (1996) observed that performance persistence was virtually inexistent between 1987 and 1995 There is little information on the long-term diligence of these funds (Edwards and...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 5 pdf
... the DEA model Results are presented and the final section concludes RISK MEASURES AND PERFORMANCE EVALUATION A multitude of investment fund performance models and metrics exist in part because ... we discuss expanded performance models that account for time-varying risk, discuss concerns over assuming mean-variance sufficiency, and consider multifactor models of style and performance attribution ... returns Both Prakash and Bear (1986) and Stephens and Proffitt (1991) also develop higher-moment performance measurements Fishburn (1977), Sortino and van der Meer (1991), Marmer and Ng (1993), Merriken...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 6 potx
... 106 PERFORMANCE characteristics with those of CTAs Subsequently, Schneeweis and Spurgin (1997), Brown, Goetzmann, and Park (2001), and Edwards and Caglayan (2001) performed ... variables SMB, HML, and HDMZD as in equation 6.1 and variables RUS, RUS2, and RUS3 corresponding to the Russell 3000 index to the power of 1, 2, and respectively The second candidates are financial ... test a joint set of pricing models and performance measures that aim to better capture the distributional features of CTAs The identification of risk premia and of the sensitivities of CTA returns...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 7 docx
... Sexton, Silkman, and Hogan (1986) and later in Oral, Ketani, and Lang (1991), Doyle and Green (1994), and Thanassoulis, Boussofiane, and Dyson (1995) It establishes the ranking procedure and computes ... usually overestimates and miscalculates nonnormal performance, because this well-known riskadjusted measure does not consider negative skewness and excess kurtosis (Brooks and Kat 2001) Using CTA ... sectors, and the use of such analysis often has resulted in technical and efficiency improvements DEA also has been used recently to evaluate the performance of mutual 136 PERFORMANCE funds and determine...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 8 pot
... Mont, Tuet, Wedt, and Thut = dummy variables that represent day-of-the-week effects et = a standard normal error term Following Chang, Pinegar, and Schachter (1997) and Irwin and Yoshimaru (1999), ... between the trading volume of large hedge funds and CTAs and market volatility However, a positive relationship between hedge fund and CTA trading volume and market volatility is consistent with either ... hedge fund and CTA data and answering many questions This chapter is dedicated to the memory of Blake Imel of the CFTC, who first suggested that we analyze the hedge fund and CTA data and provided...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 9 ppt
... trading advisors use their special knowledge and insight in buying and selling futures and forward contracts to extract a positive return This skill and insight can be applied regardless of whether ... portfolios and estimate value at risk (VaR) Armed with these data, we can estimate the probability of the risk of loss associated with long volatility strategies This is important to help us understand ... confidence level and −0.69 percent at a percent confidence level This means that we can state with a 99 per- 196 RISK AND MANAGED FUTURES INVESTING TABLE 9.2 Monte Carlo Simulation of Value at Risk CTA...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 10 pps
... Tables 10.1, 10.3, 10.5, 10.7, and 10.9 present annualized returns, standard deviations, and Sharpe ratios of these portfolios and Tables 10.2, 10.4, 10.6, 10.8, and 10.10 present the correlations ... portfolios, and Table 10.2 presents the correlation matrix The top 50 percent monthly standard deviation, top 50 percent gain standard deviation, top 50 percent loss standard deviation, and top 50 ... perfect correlations, the top and bottom 50 percent monthly standard deviation portfolios with the top and bottom 50 percent average monthly gain portfolios, and the top and bottom 50 percent semideviation...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 11 ppt
... they attempt to synchronize fiscal and monetary policy The Maastricht Treaty and the birth of “Euroland” is an example Corporations are expanding their operations and revenue streams beyond the site ... managed futures, and commodity futures are a good choice for downside risk protection To demonstrate this downside risk protection, we start with a standard portfolio of stocks and bonds We begin ... Performance Improvement 226 RISK AND MANAGED FUTURES INVESTING The cumulative performance improvement of 8.46 percent may be split into two parts, the cumulative return earned from downside risk...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 12 docx
... surveillance, and (3) regulation of futures professionals To ensure the financial and market integrity of U.S futures markets, the CFTC reviews the terms and conditions of proposed futures and option ... market risks and past performance information to prospective customers, by requiring that customer funds be kept in accounts separate from those maintained by the firm for its own use, and by ... Exchange rules cover trade clearance, trade orders and records, position and price limits, disciplinary actions, floor trading practices, and standards of business conduct Although an exchange...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 13 pps
... of Management and Incentive Fees on the Performance of CTAs TABLE 13.5 Estimation of the Relationship between Compensation Parameters and CTA Mean Annual Compounded Returns and Standard Deviation ... in managed futures, as documented by Diz and Shukla (2003) In addition, this study measures the effects of management and incentive fees on the risk and returns of CTAs more accurately by controlling ... that total CTA compensation is a function of performance (Rpt), the level of assets under management (At), and the management and incentive fee rates (km and ki) DATA The data used in this chapter...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 14 potx
... the portfolio for the same level of risk or reduce the investment risk of the portfolio without changing the level of return (Edwards and Park 1996; Edwards and Liew 1999) Fiduciary futures products ... managed futures funds and IMAs are financial products (sections 762A(2) and 764A(1)(b)), as are interests in wholesale managed futures funds and IMAs (sections 762A(2) and 764A(1)(ba)) Interests ... private managed futures funds and IMAs, in contrast, are not financial products, and such funds and accounts therefore fall outside the scope of Chapter (sections 762A(3) and 765(1)(s)).12 If an IMA...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 15 pps
... compute the relationship between the CTA indices and the equity indices, and compared their risk and return characteristics Chapter 20 analyzes the risk and return benefits of CTAs, as an alternative ... effectiveness of CTAs in enhancing risk- return characteristics of portfolios could be compromised when pure random walk behavior is identified Chapter 19 examines the risk and performance characteristics ... SELECTION, AND RETURNS for nonstationarity and random walk with drift, using the Augmented DickeyFuller test All classifications (except the diversified subindex) are found to behave as random walks,...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 16 pdf
... way as the Sharpe ratio, a composite risk- adjusted performance measure It is risk adjusted because the ERR is calculated always to a given level of risk Thus risk adjustment takes place indirectly ... reproduce the risk characteristics of a given asset by combining a benchmark asset with options and the risk- free asset The expected return on a replicating portfolio for a given risk shape (of ... on persistence in CTA performance (see, e.g., Schneeweiss 1996), investors evaluate investments, at least partially, based on past performance This chapter reviews the performance of a series...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 17 ppsx
... of CTA Standard Deviation The standard deviation is annualized and estimated on a 36-month rolling basis The database covers the period December 1993 to December 2002 and the first standard deviation ... dashed line) and II (with CTAs, solid line) Managed futures add diversification to low -risk portfolios The inclusion of CTAs on a pool of assets including standard (equities and bonds) and alternative ... 0.06 0.07 0.08 Risk (annualized standard deviation) 0.09 0.02 0.04 0.06 0.08 0.1 0.12 0.14 Risk (annualized standard deviation) FIGURE 17.8 Efficient Frontiers and Asset Allocation Constraints...
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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 18 pps
... Random Walk Behavior of CTA Returns 327 and Ma 1988; Irwin, Krukemeyer, and Zulauf 1992; Irwin, Zulauf, and Ward 1994; Kazemi 1996) However, it is generally ... that they improve and can offer a superior risk- adjusted return trade-off to stock and bond indices while acting as diversifiers in investment portfolios (Schneeweis, Savayana, and McCarthy 1991; ... markets are efficient and the random walk hypothesis holds true In this case, future percent changes in NAVs would be entirely unrelated by the historical performance (Pindyck and Rubinfeld 1998)...
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