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Author: Greg N. Gregoriou
Publisher: John Wiley & Sons
ISBN: 1118160959
Category : Business & Economics
Languages : en
Pages : 360
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Book Description
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.
Author: Greg N. Gregoriou
Publisher: John Wiley & Sons
ISBN: 1118160959
Category : Business & Economics
Languages : en
Pages : 360
Get Book
Book Description
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.
Author: S. Burcu Avci
Publisher: Dissertation.com
ISBN: 1612334733
Category : Business & Economics
Languages : en
Pages : 154
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Book Description
Understanding risk is important. Prior to 2008, as the yields on safe assets hit rock bottom, investors began to focus on an alphabet soup of more complex instruments. These complex securities were rated AAA and appeared as safe as U.S. Treasuries, but with much higher yields. The 2008 financial crisis revealed, however, that higher yields on these instruments came with higher risk, albeit too late for these investors. This study seeks to understand the risk–return tradeoff, managerial skill, and factor exposures on the risk-return tradeoff in two financial instruments that have been limitedly investigated: commodity trading advisors (CTAs) and managed futures funds (MFFs). This study begins by documenting the differences between CTAs/MFFs and hedge funds and mutual funds, starting with the legal and operational differences. Next, it conducts a performance analysis, which indicates that CTAs and MFFs, as standalone investment vehicles, provide returns that are higher than the average market returns in bear markets, while carrying lower risk. The strong standing of CTAs and MFFs in bear markets earn them their reputation as “downside risk protectors.” CTAs and MFFs are profitable individual assets but adding these funds to classical asset portfolios enhances portfolio performance significantly. This feature makes them strong hedging assets. As expected, their performance is below that of standard assets in up markets. Chapter 4 finds that the superior performance of CTAs and MFFs can be explained by managerial skill. Positive and significant Jensen alphas are evidence of good performance; moreover, the persistence of the Jensen alphas is supported by both parametric and non-parametric tests. Incentive fees and fund age are found to be positively related to managerial skill, while (somewhat surprisingly) management fees are found to be negatively related to it. Chapter 5 finds that many financial and macroeconomic factors are statistically unrelated to CTA and MFF performance. However, the value premium (HML) factor and industrial production growth (IPG) are correlated with their performance. HML has a relation effect on one-month-ahead fund returns, whereas IPG has a negative association with them. Nonparametric tests support these results marginally. Overall, these findings suggest that both CTAs and MFFs use well-known and well-established predictors of expected returns to generate their alphas.
Author: Thomas McCafferty
Publisher: Irwin Professional Publishing
ISBN: 9781557385871
Category : Commodity exchanges
Languages : en
Pages : 240
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Book Description
Author: Sureyya Burcu Avci
Publisher:
ISBN: 9781612334745
Category : Commodity futures
Languages : en
Pages :
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Book Description
"Understanding risk is important. Prior to 2008, as the yields on safe assets hit rock bottom, investors began to focus on an alphabet soup of more complex instruments. These complex securities were rated AAA and appeared as safe as U.S. Treasuries, but with much higher yields. The 2008 financial crisis revealed, however, that higher yields on these instruments came with higher risk, albeit too late for these investors. This study seeks to understand the risk-return tradeoff, managerial skill, and factor exposures on the risk-return tradeoff in two financial instruments that have been limitedly investigated: commodity trading advisors (CTAs) and managed futures funds (MFFs). This study begins by documenting the differences between CTAs/MFFs and hedge funds and mutual funds, starting with the legal and operational differences. Next, it conducts a performance analysis, which indicates that CTAs and MFFs, as standalone investment vehicles, provide returns that are higher than the average market returns in bear markets, while carrying lower risk. The strong standing of CTAs and MFFs in bear markets earn them their reputation as "downside risk protectors." CTAs and MFFs are profitable individual assets but adding these funds to classical asset portfolios enhances portfolio performance significantly. This feature makes them strong hedging assets. As expected, their performance is below that of standard assets in up markets. Chapter 4 finds that the superior performance of CTAs and MFFs can be explained by managerial skill. Positive and significant Jensen alphas are evidence of good performance; moreover, the persistence of the Jensen alphas is supported by both parametric and non-parametric tests. Incentive fees and fund age are found to be positively related to managerial skill, while (somewhat surprisingly) management fees are found to be negatively related to it. Chapter 5 finds that many financial and macroeconomic factors are statistically unrelated to CTA and MFF performance. However, the value premium (HML) factor and industrial production growth (IPG) are correlated with their performance. HML has a relation effect on one-month-ahead fund returns, whereas IPG has a negative association with them. Nonparametric tests support these results marginally. Overall, these findings suggest that both CTAs and MFFs use well-known and well-established predictors of expected returns to generate their alphas"--
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 192
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Book Description
Author: Jack D. Schwager
Publisher: John Wiley & Sons
ISBN: 9780471020578
Category : Business & Economics
Languages : en
Pages : 352
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Book Description
An in-depth investigation into the increasingly popular investment: managed futures—written by one of the world's leading authorities "Jack Schwager has written the definitive book on managed futures investing. It is exhaustive in coverage, and the analysis is exceptionally rigorous. The writing is refreshingly candid and sure to provoke discussion on many important topics in the managed futures industry. This book should be required reading for anyone considering investing in managed futures." —Scott Irwin Professor, The Ohio State University "Jack continues to be both an educator and a portfolio manager. Managed Trading is a wonderful book and much needed in the industry. I consider it required reading for investors and financial industry professionals. Finally, a road map which outlines and explores investment issues succinctly." —M. Elaine Crocker President, Moore Capital Management, Inc. "This book is a 'must-read' for anyone thinking of investing in managed futures. Schwager combines the best of academic research on managed futures investments with his own practitioner experience to provide a comprehensive and insightful analysis of the managed futures industry." —Franklin R. Edwards Arthur F. Burns, Professor, Finance and Economics Columbia Business School "The futures markets will continue to grow worldwide. You should read Jack Schwager whether you are contemplating such investments or are already investing, or even if you just want to understand what is happening." —Jim Rogers Author, Investment Biker "Schwager puts managed futures in its proper perspective as a portfolio investment, providing the reader a complete and enlightening tour of the managed futures world. His writing style makes for easy reading and his common sense and good judgment shine through as he surveys the academic literature, linking the practical and the theoretical in evaluating these investments. New investors and old hands alike will find this a 'must buy and hold' book." —Mark J. Powers President, Powers & Dubin Asset Allocation and Management Co. Editor, The Journal of Futures Markets
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0470293209
Category : Business & Economics
Languages : en
Pages : 986
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Book Description
Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.
Author: David Borman
Publisher: Simon and Schuster
ISBN: 1440536228
Category : Business & Economics
Languages : en
Pages : 288
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Book Description
Insider tips from investment pros! Over the past two decades, no investment has returned more profits than commodities, but these assets can also be perilous for the uninitiated. The Everything Guide to Commodity Trading demystifies this dynamic market, and gives you the levelheaded, clear guidance you need to make a killing in commodities! Inside, you'll learn how to conduct fundamental and technical analysis of commodities, build a portfolio, and anticipate movements in the commodities markets. The book also includes valuable info on: Cutting-edge energy and material commodities Investing safely in ETFs, index funds, futures, and options Maximizing profit in developing economies Key "set-ups" that signal when to buy and sell With trading strategies crafted for various levels of budget and risk, and featuring a chapter on numismatics and collectibles, The Everything Guide to Commodity Trading gives you the advice you need to cash in on this red-hot market!
Author: A. Zaremba
Publisher: Springer
ISBN: 1137476397
Category : Business & Economics
Languages : en
Pages : 249
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Book Description
The landscape of commodity markets has drastically changed in recent years. Once a market of refineries and mines, it has become the market of investment funds and commodity trading advisors. Given this transformation, are commodity investments still as beneficial as 20 or 30 years ago? This book is an attempt to answer these questions.
Author: Andrew Abraham
Publisher: John Wiley & Sons
ISBN: 1118407741
Category : Business & Economics
Languages : en
Pages : 229
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Book Description
A proven approach to trading success based on the best commodity trading advisors Profiting from long-term trends is the most common path to success for traders. The challenge is recognizing the emergence of a trend and determining where to enter and exit the market. The Trend Following Bible shows individual traders and investors how to profit from this approach by trading like today's top commodity trading advisors. In this book, author Andrew Abraham stresses the importance of a disciplined, consistent methodology, with stringent risk controls, that allows you to catch big trends, while limiting losses on unprofitable trades. By trading in this manner, he shows you how to successfully achieve market-beating returns over the long term and multiple your trading capital along the way. Reveals exactly how top commodity trading advisors operate and how individuals can incorporate these methods into their everyday trading endeavors Addresses key issues like position sizing and risk control, which are critical to trading success, but often underemphasized in other trading literature Highlights how to effectively execute the trading strategies outlined Engaging and accessible, The Trend Following Bible will put you in a better position to profit as you make more informed trading decisions.
