kinematic analysis and selection

... 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, ... This second point is crucial because, as evidenced in Asness, Krail, and Liew (2001) and Okunev and White (2002), biases, and especially stale prices, may entail a significant downward bias with ... −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...

Ngày tải lên: 03/07/2014, 23:20

... Correlations between Selection and Performance Periods Data Set Selection Criterion Four and onea CTA mean returns a a/s Public funds mean returns a a/s Private funds mean returns a a/s Three and Threeb ... for the overall level of returns The three-year selection period and three-year trading period show higher correlations than the four-year selection and one-year trading periods except for the early ... one-year selection period and a one-year performance period Given the low power of EGR’s method, we use longer periods here: a four-year selection period with a one-year performance period, and a...

Ngày tải lên: 03/07/2014, 23:20

... D1–D2 D1–D10 Spread between Dissolution Frequencies Spread Analysis Figure 4.4 reports the spreads between D1 and D2, D10 and D9, and D1 and D10 This figure is interesting because it shows how these ... persistence analysis and 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 ... example, Edwards and Park (1996) found 596 CTAs from 1983 to 1992 by supplementing the MAR/LaPorte CTA database with private sources Diz (1996) and Fung and Hsieh (1997b) had 925 and 901 managed...

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... 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 ... used for analysis in the DEA model and the subsequent Tobit regression analysis Table 5.1 provides descriptive statistics for the DEA model criteria over both periods and for the full and final ... from market timing activities Kon and Jen (1978, 1979) use a switching regression technique Merton (1981) and Henriksson and Merton (1981) develop nonparametric and parametric option-based methods...

Ngày tải lên: 03/07/2014, 23:20

... Subsequently, Schneeweis and Spurgin (1997), Brown, Goetzmann, and Park (2001), and Edwards and Caglayan (2001) performed studies on a joint sample of CTA and hedge fund data Fung and Hsieh (1997b) ... 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 ... be helpful in understanding monthly CTA returns over the period We first perform a classical multifactor analysis using risk premia similar to the Fama and French (1993) and Carhart (1997) models,...

Ngày tải lên: 03/07/2014, 23:20

... 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 ... 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 ... for inefficient CTAs to work toward and improve their methods We adopt and expand the methodology of Sedzro and Sardano (2000), who investigated mutual funds, and apply it to CTA classifications...

Ngày tải lên: 03/07/2014, 23:20

... 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...

Ngày tải lên: 03/07/2014, 23:20

... 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...

Ngày tải lên: 03/07/2014, 23:20

... 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...

Ngày tải lên: 03/07/2014, 23:20

... 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...

Ngày tải lên: 03/07/2014, 23:20

... 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 ... come to understand that severe weather conditions have reduced the estimate for the supply of wheat this season Basic rules of supply and demand dictate that the price of wheat (and, hence, wheat...

Ngày tải lên: 03/07/2014, 23:20

... 13.1 and 13.2 The median management and incentive fees for a sample of 974 CTAs over 250 MANAGED FUTURES INVESTING, FEES, AND REGULATION TABLE 13.1 Summary Statistics for CTA Management and Incentive ... 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 ... (0.003) Standard Deviation *Significant at the percent level under H0 = 254 MANAGED FUTURES INVESTING, FEES, AND REGULATION coefficients from equations 13.3 and 13.4, along with white standard...

Ngày tải lên: 03/07/2014, 23:20

... 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,...

Ngày tải lên: 03/07/2014, 23:20

... EVALUATION, 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 ... 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 ... the S&P 500 and MSCI Global Indices from the worst to the best months, and partition the sample into 10 deciles For each decile, they compute the relationship between the CTA indices and the equity...

Ngày tải lên: 03/07/2014, 23:20

... replicating portfolios, we used the Standard and Poor’s (S&P) 500 index as underlying Based on the assumption that returns from the index are independent and follow a lognormal distribution—a ... respectively The constraints in equation 16.3 can be expanded to include moments of order higher than three 300 PROGRAM EVALUATION, SELECTION, AND RETURNS MARKET DATA USED For the testing, we used ... in the given asset/CTA and vice versa 301 Choosing the Right CTA We investigated the efficiency of the CTA sample Figures 16.1 and 16.2 summarize the main results of the analysis The first diagram...

Ngày tải lên: 03/07/2014, 23:20

... 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 ... dedicated short bias and the emerging markets Such a finding is not that surprising, and the origin of their poor results is related to their invest- 310 PROGRAM EVALUATION, SELECTION, AND RETURNS 0.150 ... portfolio volatility is minimized and the following constraints are respected: no short sale, full investment, and weight limits if any 316 PROGRAM EVALUATION, SELECTION, AND RETURNS Clearly, the resulting...

Ngày tải lên: 03/07/2014, 23:20

... 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 ... discussion of the ADF test and random walks Following that, we display the results of the analyses, while the final section summarizes and concludes the findings DATA AND METHODOLOGY The data set ... and that the test does not discriminate very 328 PROGRAM EVALUATION, SELECTION, AND RETURNS well between mean reverting series and series that not mean revert at all (Kennedy 1998) However, the...

Ngày tải lên: 03/07/2014, 23:20

... Gruber, and Renzler (1987), who concluded that CTAs offer neither an attractive alternative to bonds and stocks nor a profitable addition to a portfolio of bond and stocks Brorsen and Irwin (1985) and ... similarities between CTAs and hedge funds and hedge fund of funds, including the management and incentive fee structures, high initial investment requirements, and the use of leverage and derivatives However, ... and bonds will reduce a portfolio’s standard deviation much more and quicker than hedge funds will, and without the undesirable side effects on skewness and kurtosis For the period 1994 to 2001,...

Ngày tải lên: 03/07/2014, 23:20

... return, and then to select one combination that is consistent with the risk aversion of the investor Mean-variance analysis has been increasingly applied to asset allocation and is now the standard ... detailed analysis of the risk-return properties of the CTA, a word of caution is necessary: Unlike traditional asset classes (bonds and equity), where performance data and benchmarks are readily and ... by 3See www.cisdm.org for data and description of CTA Qualified Universe Index 362 PROGRAM EVALUATION, SELECTION, AND RETURNS TABLE 20.1 Characteristics of CTA and Traditional Asset Classes,...

Ngày tải lên: 03/07/2014, 23:20

... Multi CTA and Hedge Fund Strategies Correlations with Lehman Aggregate have affected the annual returns of the CSFB MF Figures 21.2 and 21.3 show the corresponding results for Nasdaq and Lehman ... test whether its first and second moments and its autocorrelations are invariant in time For comparison purposes, we carry out all the tests that appeared in Gregoriou and Rouah (2003a) for hedge ... extend the analysis to the manager’s excess returns as a proxy for determining stationarity of manager’s alpha We use the Augmented Dickey-Fuller ∞ 370 PROGRAM EVALUATION, SELECTION, AND RETURNS...

Ngày tải lên: 03/07/2014, 23:20