[...]... −0.66 −0. 71 −0.75 0. 21 0 .13 0.08 0.04 0.04 0.09 0 .17 0. 31 0.49 0.70 0.94 0 5 10 15 20 25 30 35 40 45 50 0.62 0.62 0.63 0.63 0.64 0.64 0.65 0.65 0.65 0.66 0.66 2. 01 1.93 1. 85 1. 79 1. 75 1. 71 1.70 1. 70 1. 72 1. 76 1. 81 Skewness Kurtosis 0.03 0.09 0 .15 0.22 0.28 0.34 0.39 0.42 0.45 0.47 0.48 0. 21 0 .17 0 .14 0 .15 0 .18 0.24 0.30 0.36 0. 41 0.43 0.42 11 Managed Futures and Hedge Funds HEDGE FUNDS PLUS MANAGED FUTURES... 5 10 15 20 25 30 35 40 45 50 Mean 0.72 0.73 0.74 0.76 0.77 0.78 0.80 0. 81 0.82 0.84 0.85 Managed Futures SD Skewness Kurtosis % MF Mean SD 2.49 2.43 2.38 2.33 2.29 2.25 2.22 2.20 2 .18 2 .17 2 .16 −0.33 −0.40 −0.46 −0.53 −0.60 −0.66 −0.72 −0.78 −0.82 −0.85 −0.87 −0.03 0.02 0.08 0 .17 0.28 0.42 0.58 0.77 0.97 1. 19 1. 41 0 5 10 15 20 25 30 35 40 45 50 0.72 0. 71 0. 71 0. 71 0. 71 0. 71 0. 71 0. 71 0. 71 0. 71 0. 71. .. funds TABLE 1. 3 Return Statistics 33/66 Portfolios of Stocks, Bonds, and Hedge Funds or Managed Futures Hedge Funds % HF 0 5 10 15 20 25 30 35 40 45 50 Mean 0.62 0.64 0.66 0.68 0.69 0. 71 0.73 0.75 0.77 0.79 0.80 Managed Futures SD Skewness Kurtosis % MF Mean SD 2. 01 1.97 1. 93 1. 90 1. 87 1. 86 1. 85 1. 84 1. 85 1. 86 1. 89 0.03 −0.05 −0 .14 −0.24 −0.34 −0.43 −0.52 −0.60 −0.66 −0. 71 −0.75 0. 21 0 .13 0.08 0.04... 0. 71 2.49 2.37 2.26 2 .16 2.08 2.00 1. 95 1. 91 1.89 1. 89 1. 91 Skewness Kurtosis −0.33 −0.28 −0. 21 −0 .14 −0.06 0.02 0 .10 0 .18 0.24 0.30 0.34 −0.03 −0 .18 −0.30 −0.39 −0.42 −0.40 −0.32 −0.20 −0.06 0.08 0 .19 Table 1. 3 for 33/66 investors, except that the drop in skewness is much more pronounced With managed futures the picture is different If the managed futures allocation increases, the standard deviation drops... systematic and 52 discretionary traders, which split up in 16 9 diversified, 11 1 financial only, 9 financial and metals, and 11 nonfinancial trading programs Throughout we use monthly return data over the period June 19 94 to May 20 01 For bonds, hedge funds, and managed futures we use the sample mean as our estimate of the expected future return For stocks, however, we assume an expected return of 1 percent... 10 0 percent in 5 percent steps Without managed futures, increasing the alternatives allocation will significantly raise the expected return When the managed futures alloca- TABLE 1. 4 Return Statistics Portfolios of Hedge Funds and Managed Futures % MF Mean SD Skewness 0 5 10 15 20 25 30 35 40 45 50 0.99 0.97 0.96 0.94 0.93 0.92 0.90 0.89 0.87 0.86 0.85 2.44 2. 31 2 .18 2.06 1. 96 1. 88 1. 81 1.76 1. 74 1. 74... deviation of 1. 63 percent, a skewness of −0. 81 and a kurtosis of 3.42 The Stark 300 index has fundamentally different skewness and kurtosis properties than the MLM index 9 Managed Futures and Hedge Funds TABLE 1. 1 Basic Monthly Statistics S&P 500, Bonds, Hedge Funds, and Managed Futures S&P 500 Mean Standard deviation Skewness Excess kurtosis Bonds 1. 00 4.39 −0.82 1. 05 0.45 1. 77 0.58 1. 45 Hedge Funds... 0 5 10 15 20 25 30 35 40 45 50 0.99 0.97 0.96 0.94 0.93 0.92 0.90 0.89 0.87 0.86 0.85 2.44 2. 31 2 .18 2.06 1. 96 1. 88 1. 81 1.76 1. 74 1. 74 1. 76 −0.47 −0.37 −0.27 −0 .15 −0.03 0.09 0.20 0.29 0.36 0.39 0.39 Kurtosis 2.67 2. 31 1. 91 1.46 1. 01 0.59 0.23 −0. 01 −0 .14 −0 .17 −0 .15 ... data from public funds, private funds, and CTAs and applies four distinct methods to evaluate performance persistence 1 2 PERFORMANCE A small amount of performance persistence was found It was stronger when a return/risk measure was used as the measure of performance The persistence found was small relative to the noise in the data, and, therefore, precise methods and long time series had to be used to... Hedge Funds 0.99 2.44 −0.47 2.67 Managed Fut 0.70 2.89 0.45 0. 21 Correlations S&P 500 S&P 500 Bonds HF MF 1 0 .15 0.63 −0.07 Bonds 1 −0.05 0.20 Hedge Fund 1 −0 .14 Managed Fut 1 STOCKS, BONDS, PLUS HEDGE FUNDS OR MANAGED FUTURES Given the complexity of the relationship between hedge fund and equity returns, we study the impact of hedge funds and managed futures for two different types of investors The . Cataloging-in-Publication Data Commodity trading advisors : risk, performance analysis, and selection / [edited by] Greg N. Gregoriou . [et al.]. p. cm. ISBN 0-4 71- 6 819 4-6 (cloth) 1. Commodity trading advisors ONE Performance 1 CHAPTER 1 Managed Futures and Hedge Funds: A Match Made in Heaven 5 Harry M. Kat CHAPTER 2 Benchmarking the Performance of CTAs 18 Lionel Martellini and Mathieu Vaissié CHAPTER. CONTENTS ftoc_gregoriou.qxd 7/27/04 12 :17 PM Page vi CHAPTER 13 The Effect of Management and Incentive Fees on the Performance of CTAs: A Note 248 Fernando Diz CHAPTER 14 Managed Futures Funds and Other Fiduciary