commodity trading advisors - risk, performance analysis, and selection

... 2. 8 2. 0 −1.9 2. 7 2. 9 Goldman Sachs 0 .21 0 .26 0.14 0.16 0.13 Commodity Index T-stats 3.3 2. 7 3.0 3 .2 2.8 Chg in VIX −0.03 T-stats −1.4 c 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;...

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... 577 435 1,071 Percentage returns Mean 0 .31 0.62 1.28 SD 7.68 9.22 10. 53 Minimum − 232 .69 −224.81 − 135 .48 Maximum 229. 73 188. 93 239 .79 Skewness −2.08 −0.49 1.14 Kurtosis 133 .91 40.70 24 .34 c 03_ gregoriou.qxd ... Data Subgroups 1 a 2 b 3 c 4 d Mean returns top 1 /3 3.21 2.77 2.57 1.48 middle 1 /3 1.87 2.09 1.85 1 .30 bottom 1 /3 0.80 1.41 1.15 1.14 top 3 4. 93 3.47 3. 2...

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... 7.60 1.17 −20 .4 57 .4 2 .48 16. 14 0.19 Discretionary 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 *** 0.20 D1c −0.78 0. 94 ** 0.03 D1c 1.15 0.32 -0.03 D1c 0. 74 ** 0.70 *** 0.18 D10b 0 .41 0. 6...

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... style 14 88 PERFORMANCE 750 850 950 1, 050 1, 150 1, 250 1, 350 1, 450 1 ,55 0 Date 11-Mar-98 18-May-98 24-Jul-98 30-Sep-98 7-Dec-98 16-Feb-99 23-Apr-99 30-Jun-99 7-Sep-99 11-Nov-99 20-Jan-00 28-Mar-00 5- Jun-00 10-Aug-00 17-Oct-00 22-Dec-00 5- Mar-01 10-May-01 18-Jul-01 28-Sep-01 5- Dec-01 14-Feb-02 24-Apr-02 1-Jul-02 6-Sep-02 12-Nov-02 Daily ... <2 .5 23 15 2 .5 – < ;...

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... 0.20 0.30 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 1.47 Index −0.71 −1.04 1.51 −3. 16 1.35 0.03 ... 9.71 6. 13 3.15 0. 46 3.40 1.99 CTA 0.28 0.04 5.95 −5.18 2. 56 0.30 2.73 1.04 Index −0.42 −0.81 2.24 −4 .62 1.70 −0.41 3.22 0.55 0.41 0. 36 6.31 −4 .66 2.53 0.28 3.00 0.40 0...

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... Investments Inc. 58.88 17. 00 17. 65 0 .72 100 47. 75 144 c 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 1999–2001 Cross- ... Mgmt. 9.81 3. 67 10. 57 −1.00 100 — DKR Capital Inc. 67. 26 17. 48 6 .71 1. 97 100 79 .34 TWR Mgmt. Corp. 38.86 11.50 10.23 0 .71 100 41.96 c 07_ gregoriou.qxd...

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... % Coffee 8, 081 24,330 2.60 5,072 19,7 18 1.69 Copper 8, 013 32, 585 1.03 5,9 38 22,515 1.15 Corn 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 1.33 Deutsche mark 42 ,89 5 92, 186 0.47 33,130 71,3 28 0.46 Eurodollar 145,505 446,932 0.05 82 ,709 329,2 68 0.05 Gold 28, 810 82 ,344...

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... three Barclay Commodity Trading Advisor indices 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 6 Alpha_low −0.0158 −1.2 699 −0.0 793 −1.7150 −0.0175 −1.2127 −0.0437 −1.7743 Beta_low −0. 396 2 −2.1083 −1.1018 −2. 191 1 −0. 492 3 −2.1703 −0.5 893 −2.322...

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... 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 INVESTING TABLE 10. 3 Summary Statistics for Currency Portfolios c10_gregoriou.qxd 7/27/04 11:22 AM Page 210 TABLE 10. 1...

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... CHAPTER 11 220 CHAPTER 11 Managing Downside Risk in Return Distributions Using Hedge Funds, Managed Futures, and Commodity Indices Mark Anson T his chapter examines how ... RISK AND MANAGED FUTURES INVESTING c11_gregoriou.qxd 7/27/04 11: 26 AM Page 226 TABLE 11. 3 Downside Risk Protection Using Managed Futures Number of Cumulative Cumulative Cumulative Expected Standard .....

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... futures products and discusses recent proposals to reform the regulation of individually managed futures accounts. CHAPTER 12 234 MANAGED FUTURES INVESTING, FEES, AND REGULATION c12_gregoriou.qxd ... the supply and demand of a particular commodity to predict future prices. Such factors include the nature of the economy, govern- mental policies, domestic and foreign political eve...

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... regression equations 13. 2 and 13. 3 may substantially alter the size, sign, and level of statistical significance of their The Effect of Management and Incentive Fees on the Performance of CTAs ... management can and often do include notional assets b Reported returns are net of management and incentive fees. c13_gregoriou.qxd 7/27/04 11:30 AM Page 250 CHAPTER 13 The Effec...

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... private managed futures funds and IMAs, in contrast, are not financial products, and such funds and accounts therefore fall outside the scope of Chapter 7 (sections 762A(3) and 765(1)(s)). 12 If an ... bank bill, interest rate swap, 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 the w...

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... pure random walk behavior is identified. Chapter 19 examines the risk and performance characteristics of dif- ferent strategies involving the trading of commodity futures, financial futures, and ... futures 277 c15_gregoriou.qxd 7/27/04 11:34 AM Page 277 PART Four Program Evaluation, Selection, and Returns Chapter 15 discusses the issues involved in setting up a commodity...

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... given asset/CTA and vice versa. 300 PROGRAM EVALUATION, SELECTION, AND RETURNS c16_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 futures funds with a contingent claim–based efficiency measure, which is based on a moment...

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