... meet their obligations to creditors and counterparties, and to continue operations, even under adverse economic conditions The Comprehensive Capital Analysisand Review (CCAR) is a supervisory ... more to develop and submit capital plans to the Federal [fotnote] See Board of Governors of the Federal Reserve System, "Comprehensive Capital Analysisand Review: Objectives and Overview" (March ... stress and baseline scenarios that each firm developed independently (the "BHC Stress" and "BHC Baseline" scenarios, respectively) See Federal Reserve System, "Comprehensive Capital Analysis and...
... P(s) and C(s) represent the plant and controller, respectively, and the nonlinear functions f (·) and g(·) describe, respectively, the actuator and sensor The signals r, d, e, u, v, y, and ym ... linearization, and actual system performance For this LPNI system, we construct its Jacobian and stochastic linearizations and 2 calculate the variances, σy and σy , of the outputs y(t) and y(t) as ... coloring filter with the 3dB bandwidth r , the plant, and the controller, respectively, f (u) is the actuator nonlinearity, and wr and r are standard white noise and the reference signal Since,...
... successfully received and the channel is idle terarrival time, and the throughput efficiency OPNET simulation results validate the accuracy of our performanceanalysis Moreover, a performance comparison ... PERFORMANCEANALYSIS Our performance analysis, as already shown in the previous section, includes the effect of packet retry limits and The full proof as well as additional details for the derived analysis ... for the other two considered performance metrics: packet drop time and drop probability TUNING OF PROTOCOL PARAMETERS ANDPERFORMANCE RESULTS There are a variety of performance requirements according...
... 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, 2003; Schneeweis, Spurgin, and Georgiev ... −13.49 4cf Favre and Galeano (2002b) for more details on the Modified VaR and its application to hedge funds 23 Benchmarking the Performance of CTAs percent for the S&P 500 and −3.31 percent ... 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 performance...
... There is no strong difference in performance persistence among CTAs, public funds, and private funds PERFORMANCE PERSISTENCE AND CTA CHARACTERISTICS Because some performance persistence was found, ... 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 ... fund in period one and period two, and then ranked The funds were divided into groups consist- 36 PERFORMANCE ing of the top-third mean returns, middle-third mean returns, and bottomthird mean...
... including a bull and a bear market period Further, we report the methodology used to analyze CTA performanceandperformance persistence before reporting the results of the performanceanalysis in ... persistence analysisand analyzes the exposure of the deciles constructed on previous year’s performance to the individual strategies Then we report the complete analysis of monthly and yearly ... in performance Sirri and Tufano (1998) and Zheng (1999) stressed the importance of persistence analysis in mutual funds They document large inflows of money into last year’s best performers and...
... 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 ... the DEA model Results are presented and the final section concludes RISK MEASURES ANDPERFORMANCE 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 andperformance attribution...
... 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 ... utility-based performance measures than the Sharpe ratio and to a more proper use of stochastic discount factor–based performance measures, such as Jensen’s alpha, the Treynor ratio, or the Treynor and...
... 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 ... 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 ... most efficient funds (see, e.g., McMullen and Strong 1997; Bowlin 1998; Morey and Morey 1999; Sedzro and Sardano 2000; Basso and Funari 2001) Barr, Seiford, and Siems (1994), however, suggest that...
... 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), ... 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 ... Schleifer, Summers, and Waldman 1990) Kodres and Pritsker (1996) and Kodres (1994) investigate herding behavior on a daily basis for large futures market traders, including hedge funds and CTAs, in...
... 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 ... MLMI invests in and is equally weighted across 25 futures contracts in seven major commodity futures categories: grains, livestock, energy, metals, food and fiber, financials, and currencies The ... Additionally, the slope of the mimicking portfolio is flat to the right-hand side of the kink and has a negative slope to the left-hand side of the kink In sum, our mimicking portfolio captures the...
... 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...
... 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 ... bankers or government regimes (See, e.g., McCarthy, Schneeweis, and Spurgin 1996; Schneeweis, Spurgin, and Potter 1997; and Edwards and Park 1996.) To analyze the impact of managed futures on the ... Within this framework, investment strategies and asset classes distinct from financial assets have the potential to diversify and protect an invest- 222 RISK AND MANAGED FUTURES INVESTING 25 Frequency...
... oil, and other commodities that change in value in accordance with price fluctuations and improves portfolio performance because they typically have zero correlation to traditional markets The analysis ... 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 ... 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...
... 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 ... CTA performance CTA COMPENSATION PARAMETERS ANDPERFORMANCE In this section we empirically explore the relationship between CTA returns and the standard deviation of returns to their compensation ... consistent standard errors Table 13.4 presents OLS estimates of regression TABLE 13.4 Estimation of the Relationship between Compensation Parameters and CTA Mean Annual Compounded Returns and Standard...
... 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 ... 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 whole of 2002 respectively,...
... 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, ... pure random walk behavior is identified Chapter 19 examines the risk andperformance characteristics of different strategies involving the trading of commodity futures, financial futures, and options ... that this trade can continue to exist 14 12 10 ≤ –14.25c > –14.25c and ≤ –8.5c > –8.5c and ≤ -2.75c > –2.75c and ≤ 3c > 3c and ≤ 8.75c Price Change Intervals FIGURE 15.2 Histogram of the Frequency...
... field continues to be the performance evaluation of those alternative investments Because they may offer highly nonnormal and optionlike return profiles, traditional performance measures used ... disadvantages (i.e., they produce controversial results and, in particular, may be subject to gambling behavior) The performance of CTAs and hedge funds remains, however, a particularly important ... 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...
... 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 ... Figure 17.2 and provide a first step in the CTAs’ performance assessment Clearly, the CTA index and the managed futures index present similar annualized returns (respectively 6.44 percent and 6.26 ... asset of 0.4 (lines b), 0.45 (lines c) and 0.5 (lines d)) The assets considered below to the pools I (standard assets, without CTAs (dashed lines)) and II (standard assets, with CTAs (solid lines))...
... 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 ... 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) ... minimal amount of performance persistence is found in CTAs and there could exist some advantages in selecting CTAs based on past performance when a long time series of data is available and accurate...