Commodity Trading Advisors: Risk, Performance Analysis, and by Greg N. Gregoriou

By Greg N. Gregoriou

I've got examine 50 books on funds administration, buying and selling, and making an investment. each publication up until eventually this one supplied little gold nuggets of knowledge to assist my making an investment. This ebook used to be so tricky to learn it was once like from one other international. here's an instance of what you can find within the book:

Data envelopment research, a mathematical programming process, used to be first constructed by way of Charnes, to degree the potency or functionality of person decision-making devices (DMU's) in generating a number of outputs from a number of inputs. not like a parametric process, which calls for the researcher to make occasionally arbitrary assumptions in regards to the functional... You get the drift.

Anyway this publication was once an entire waste of cash. I kick myself for no longer doing right learn prior to spending my $55. The ebook isn't really beneficial in settling on a CTA. the one factor this booklet is sweet for is beginning a fireplace. i'll positioned it with my camping out stuff and use it for that objective.

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Additional info for Commodity Trading Advisors: Risk, Performance Analysis, and Selection

Example text

However, to tap the diversification potential of CTAs in an optimal manner, investors need to have a better understanding of the extent to which CTAs differ from traditional asset classes. Such an understanding naturally implies better knowledge of the risk factors that drive their performance. 2 Efficient Frontiers, January 1997 to September 2003 OVERVIEW OF KEY PERFORMANCE DRIVERS OF CTAS CTAs offer very attractive properties on a stand-alone basis as well as in a portfolio. To best allocate them, however, investors need to know which risk factors drive their performance.

Despite their lower expected return, managed futures appear to be more effective diversifiers than hedge funds. Adding managed futures to a portfolio of stocks and bonds will reduce that portfolio’s standard deviation more effectively than hedge funds alone, and without the undesirable impact on skewness and kurtosis. This does not mean that hedge funds are superfluous. Overall portfolio standard deviation can be reduced further by combining both hedge funds and managed futures with stocks and bonds.

2 Efficient Frontiers, January 1997 to September 2003 OVERVIEW OF KEY PERFORMANCE DRIVERS OF CTAS CTAs offer very attractive properties on a stand-alone basis as well as in a portfolio. To best allocate them, however, investors need to know which risk factors drive their performance. To do so, one may want to carry out a factor analysis with dozens of risk factors on a randomly selected CTA index. This would obviously lead to a high in-sample adjusted R2, but the robustness of the results would certainly be low.

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