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. 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;...
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 3 docx
... 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...
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 4 ppsx
... 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...
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 5 pdf
... 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 – < ;...
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 6 potx
... 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...
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 7 docx
... Investments Inc. 58.88 17. 00 17. 65 0 .72 100 47. 75
144
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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...
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 8 pot
... %
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...
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 9 ppt
... 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...
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 INVESTING
TABLE 10. 3 Summary Statistics for Currency Portfolios
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TABLE 10. 1...
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 11 ppt
... 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
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TABLE 11. 3 Downside Risk Protection Using Managed Futures
Number of Cumulative Cumulative Cumulative
Expected Standard .....
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 12 docx
... 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...
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 13 pps
... 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.
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CHAPTER
13
The Effec...
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 14 potx
... 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...
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, financial
futures, and ... futures
277
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PART
Four
Program Evaluation,
Selection, and Returns
Chapter 15 discusses the issues involved in setting up a commodity...
Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 16 pdf
... given
asset/CTA and vice versa.
300 PROGRAM EVALUATION, SELECTION, AND RETURNS
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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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