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COMMODITY TRADING ADVISORS: RISK, PERFORMANCE ANALYSIS, AND SELECTION

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Commodity Trading Advisors (CTAs) use proprietary trading programs that buy and sell commodities and financial futures around the globe. Different than hedge fund and long-only portfolio managers, they don’t follow any stock or bond market trends, but rather, attempt to seize opportunities in a variety of commodity and financial futures markets. The investment potential of CTAs is undeniable, yet little has been done to study their performance in detail–until now.

In Commodity Trading Advisors: Risk, Performance Analysis, and Selection editors Greg Gregoriou, Vassilios Karavas, François-Serge Lhabitant, and Fabrice Rouah bring together the best minds in the business to analyze CTAs from both a quantitative and qualitative perspective. Divided into four comprehensive sections–Performance; Risk and Managed Futures Investing; Managed Futures Investing, Fees, and Regulation; and Program Evaluation, Selection, Diversification, and Returns–this unique resource contains articles that cover a wide range of CTA issues, including:

The performance of CTAs in changing market conditions
Simple and cross efficiency of CTAs using data envelopment analysis
The effect of large hedge fund and CTA trading on futures market volatility
Measuring the long volatility strategies of managed futures
Managed futures funds and other fiduciary products
Choosing the right CTA
How to design a commodity trading futures program

Although much of the information related to CTAs can be technical in nature, Commodity Trading Advisors distills the knowledge of experts within this field in the most straightforward and accessible way possible. You’ll become familiar with many of the benefits and risks associated with CTAs as well as the risk/return characteristics of a number of different strategies implemented by them. You’ll also learn about important CTA selection and monitoring issues, such as evaluation, returns, and tracking.

Filled with in-depth insights and practical advice, Commodity Trading Advisors can help you–whether you’re an institutional investor, pension fund manager, endowment fund, or high-net-worth individual–understand the complexities of this alternative investment opportunity, and show you how to use CTAs as a portfolio diversification tool that can mitigate downside risk in any market.

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Availability

10000815

332.64 GRE c

RLC MM (Rak Buku Umum)

Available

Detail Information

Series Title

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Statement of Responsibility

Greg N. Gregoriou

Call Number

332.64 GRE c

Publisher

New Jersey : John Wiley & Sons., 2004

Collation

xxiii, 424 p. : ill ; 23cm.

Language

English

ISBN/ISSN

0-471-68194-6

Classification

332.64

Content Type

-

Edition

-

Subject(s)

Buku Umum
Business Finance
Economics
Commodities Trading

Specific Detail Info

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