Greg N. Gregoriou - Commodity Trading Advisors
Authoritative, up-to-date research and analysis that provides a dramatic new understanding of the rewards and risks of investing in CTAs Commodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth individuals. Commodity Trading Advisors is one of the first books to study their performance in detail and analyze the "survivorship bias" present in CTA performance data. This book investigates the many benefits and risks associated with CTAs, examining the risk/return characteristics of a number of different strategies deployed by CTAs from a sophisticated investor's perspective. A contributed work, its editors, and contributing authors are among today's leading voices on the topic of commodity trading advisors and a veritable "Who's Who" in hedge fund and CTA research. Greg N. Gregoriou (Plattsburgh, NY) is a Visiting Assistant Professor of Finance and Research Coordinator in the School of Business and Economics at the State University of New York. Vassilios N. Karavas (Amherst, MA) is Director of Research at Schneeweis Partners. Francois-Serge Lhabitant (Coppet, Switzerland) is a FAME Research Fellow and a Professor of Finance at EDHEC (France) and at HEC University of Lausanne (Switzerland). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathématique de Montréal Scholar in the finance program at McGill University.
Table of Contents
- PART ONE: Performance.
- CHAPTER 1: Managed Futures and Hedge Funds: A Match Made in Heaven (Harry M. Kat).
- CHAPTER 2: Benchmarking the Performance of CTAs (Lionel Martellini and Mathieu Vaissié).
- CHAPTER 3: Performance of Managed Futures: Persistence and the Source of Returns (B. Wade Brorsen and John P. Townsend).
- CHAPTER 4: CTA Performance, Survivorship Bias, and Dissolution Frequencies (Daniel Capocci).
- CHAPTER 5: CTA Performance Evaluation with Data Envelopment Analysis (Gwenevere Darling, Kankana Mukherjee, and Kathryn Wilkens).
- CHAPTER 6: The Performance of CTAs in Changing Market Conditions (Georges Hübner and Nicolas Papageorgiou).
- CHAPTER 7: Simple and Cross-Efficiency of CTAs Using Data Envelopment Analysis (Fernando Diz, Greg N. Gregoriou, Fabrice Rouah, and Stephen E. Satchell).
- PART TWO: Risk and Managed Futures Investing.
- CHAPTER 8: The Effect of Large Hedge Fund and CTA Trading on Futures Market Volatility (Scott H. Irwin and Bryce R. Holt).
- CHAPTER 9: Measuring the Long Volatility Strategies of Managed Futures (Mark Anson and Ho Ho).
- CHAPTER 10: The Interdependence of Managed Futures Risk Measures (Bhaswar Gupta and Manolis Chakras).
- CHAPTER 11: Managing Downside Risk in Return Distributions Using Hedge Funds, Managed Futures, and Commodity Indices (Mark Anson).
- PART THREE: Managed Futures Investing, Fees, and Regulation.
- PART FOUR: Program Evaluation, Selection, and Returns.
- CHAPTER 15: How to Design a Commodity Futures Trading Program (Hilary Till and Joseph Eagleeye).
- CHAPTER 16: Choosing the Right CTA: A Contingent Claim Approach (Zsolt Berenyi).
- CHAPTER 17: CTAs and Portfolio Diversification: A Study through Time (Nicolas Laporte).
- CHAPTER 18: Random Walk Behavior of CTA Returns (Greg N. Gregoriou and Fabrice Rouah).
- CHAPTER 19: CTA Strategies for Returns-Enhancing Diversification (David Kuo Chuen Lee, Francis Koh, and Kok Fai Phoon).
- CHAPTER 20: Incorporating CTAs into the Asset Allocation Process: A Mean-Modified Value at Risk Framework (Maher Kooli).
- CHAPTER 21: ARMA Modeling of CTA Returns (Vassilios N. Karavas and L. Joe Moffitt).
- CHAPTER 22: Risk-Adjusted Returns of CTAs: Using the Modified Sharpe Ratio (Robert Christopherson and Greg N. Gregoriou).
- CHAPTER 23: Time Diversification: The Case of Managed Futures (François-Serge Lhabitant and Andrew Green).
GREG N. GREGORIOU is Assistant Professor of Finance and Faculty Research Coordinator in the School of Business and Economics at the State University of New York (Plattsburgh). He is the hedge fund editor for Derivatives Use, Trading & Regulation, a peer-reviewed publication based in London, and was awarded a prestigious scholarship from the Institut de Finance Mathématique de Montréal for three years. He has authored over twenty professional articles in brokerage and pension fund magazines in Québec and Canada. He currently provides hedge fund and CTA quantitative and qualitative research for a large Canadian firm and specializes in the construction and monitoring of funds of hedge funds using advanced statistical techniques.
VASSILIOS N. KARAVAS is currently Director of Research at Schneeweis Partners in Amherst, Massachusetts. His research focus is on alternative optimization techniques, ranging from disequilibrium market models to hedge fund portfolio selection. Vassilios holds a Ph.D. in Operations Research from the University of Massachusetts at Amherst, an MS, and a Diploma in Industrial Engineering from the Technical University of Crete-Chania, Greece. He is also a research associate of the Center for International Securities and Derivatives Markets (CISDM).
FRANÇOIS-SERGE LHABITANT is a Member of Senior Management at Union Bancaire Privée in Geneva, where he heads the quantitative research and risk analysis of the Alternative Asset Management Group. He was previously a director at UBS Global Asset Management in charge of quantitative modeling. He is a FAME Research Fellow, a Research Associate at EDHEC (France), and a Professor of Finance at HEC University of Lausanne (Switzerland). He is the author of two books on hedge fund investing and emerging markets.
FABRICE ROUAH is an Institut de Finance Mathématique de Montréal (IFM2) Scholar, and a PhD candidate in finance at McGill University in Montreal. He is a former faculty lecturer and consulting statistician in the Department of Mathematics and Statistics at McGill University. He specializes in the statistical and stochastic modeling of hedge funds, managed futures, and CTAs, and is a regular contributor in peer-reviewed academic publications on alternative investments.
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