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Commodity trading advisors : risk, performance analysis, and selection /
Authoritative, up-to-date research and analysis that provides a dramatic new understanding of the rewards-and risks-of investing in CTAsCommodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth indiv...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
Wiley,
©2004.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Part One. Performance
- 1. Managed Futures and Hedge Funds : A Match Made in Heaven / Harry M. Kat
- 2. Benchmarking the Performance of CTAs / Lionel Martellini and Mathieu Vaissie
- 3. Performance of Managed Futures : Persistence and the Source of Returns / B. Wade Brorsen and John P. Townsend
- 4. CTA Performance, Survivorship Bias, and Dissolution Frequencies / Daniel Capocci
- 5. CTA Performance Evaluation with Data Envelopment Analysis / Gwenevere Darling, Kankana Mukherjee, and Kathryn Wilkens
- 6. The Performance of CTAs in Changing Market Conditions / Georges Hubner and Nicolas Papageorgiou
- 7. Simple and Cross-Efficiency of CTAs Using Data Envelopment Analysis / Fernando Diz [and others]
- Part Two. Risk and Managed Futures Investing
- 8. The Effect of Large Hedge Fund and CTA Trading on Futures Market Volatility / Scott H. Irwin and Bryce R. Holt
- 9. Measuring the Long Volatility Strategies of Managed Futures / Mark Anson and Ho Ho
- 10. The Interdependence of Managed Futures Risk Measures / Bhaswar Gupta and Manolis Chatiras
- 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
- 12. Managed Futures Investing / James Hedges IV
- 13. The Effect of Management and Incentive Fees on the Performance of CTAs : A Note / Fernando Diz
- 14. Managed Futures Funds and Other Fiduciary Products : The Australian Regulatory Model / Paul U. Ali
- Part Four. Program Evaluation, Selection, and Returns
- 15. How to Design a Commodity Futures Trading Program / Hilary Till and Joseph Eagleeye
- 16. Choosing the Right CTA : A Contingent Claim Approach / Zsolt Berenyi
- 17. CTAs and Portfolio Diversification : A Study through Time / Nicolas Laporte
- 18. Random Walk Behavior of CTA Returns / Greg N. Gregoriou and Fabrice Rouah
- 19. CTA Strategies for Returns-Enhancing Diversification / David Kuo Chuen Lee, Francis Koh, and Kok Fai Phoon
- 20. Incorporating CTAs into the Asset Allocation Process : A Mean-Modified Value at Risk Framework / Maher Kooli
- 21. ARMA Modeling of CTA Returns / Vassilios N. Karavas and L. Joe Moffitt
- 22. Risk-Adjusted Returns of CTAs : Using the Modified Sharpe Ratio / Robert Christopherson and Greg N. Gregoriou
- 23. Time Diversification : The Case of Managed Futures / Francois-Serge Lhabitant and Andrew Green.