Commodity Trading Advisors
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Commodity Trading Advisors
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Author : Greg N. Gregoriou
language : en
Publisher: John Wiley & Sons
Release Date : 2011-09-02
Commodity Trading Advisors written by Greg N. Gregoriou and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-02 with Business & Economics categories.
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.
Performance Managerial Skill And Factor Exposures In Commodity Trading Advisors And Managed Futures Funds
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Author : S. Burcu Avci
language : en
Publisher: Dissertation.com
Release Date : 2019-10-15
Performance Managerial Skill And Factor Exposures In Commodity Trading Advisors And Managed Futures Funds written by S. Burcu Avci and has been published by Dissertation.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-15 with Business & Economics categories.
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.
Performance Managerial Skill And Factor Exposures In Commodity Trading Advisors And Managed Futures Funds
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Author : Sureyya Burcu Avci
language : en
Publisher:
Release Date : 2019
Performance Managerial Skill And Factor Exposures In Commodity Trading Advisors And Managed Futures Funds written by Sureyya Burcu Avci and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Commodity futures categories.
"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"--
Winning With Managed Futures
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Author : Thomas McCafferty
language : en
Publisher: Irwin Professional Publishing
Release Date : 1994-01
Winning With Managed Futures written by Thomas McCafferty and has been published by Irwin Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-01 with Commodity exchanges categories.
Managed Trading
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Author : Jack D. Schwager
language : en
Publisher: John Wiley & Sons
Release Date : 1996-09-06
Managed Trading written by Jack D. Schwager and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-09-06 with Business & Economics categories.
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
The Handbook Of Commodity Investing
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2008-06-02
The Handbook Of Commodity Investing written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-06-02 with Business & Economics categories.
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.
The Financialization Of Commodity Markets
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Author : A. Zaremba
language : en
Publisher: Springer
Release Date : 2015-04-01
The Financialization Of Commodity Markets written by A. Zaremba and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-01 with Business & Economics categories.
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.
The Everything Guide To Commodity Trading
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Author : David Borman
language : en
Publisher: Simon and Schuster
Release Date : 2012-07-18
The Everything Guide To Commodity Trading written by David Borman and has been published by Simon and Schuster this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-18 with Business & Economics categories.
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!
Essential Factors For Being A Successful Commodity Trader
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Author : Andrew Abraham
language : en
Publisher:
Release Date : 2013-03-09
Essential Factors For Being A Successful Commodity Trader written by Andrew Abraham and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Business & Economics categories.
Successful trading is not what you think. There's more To Trading than Just Having a StrategyIn trading magazines as well as web sites that list trading system results they all seem to highlight "the trading strategy of the month". If it were so simple to buy one of these systems you would have retirement in a box.The problem is that strategies Do NOT make a good trader. This book is not about any magical methodology or indicator that claims win rates of 80% or more (by the way the vast majority only lose money chasing these type of concepts). Actually this book will hopefully give you an "AHA" experience what successful investing is really all about. True successful investing is never taught in school or even graduate school. More so in my career spanning more than 19 years I never came across a book that really taught what successful investing is. This book was written for my children whom I have been teaching trading since they have been 12 and 13. It was written for them in order to be independent traders that are consistent and profitable over long periods of time. I shared this book with my colleagues and they urged me to have it published in order that others can benefit. This book is not on any specific trading system or trading indicators. There are too many books already on trading methodologies that Amazon can even publish. This book is different. It is not about finding the Holy Grail system or "Perfect" trading indicators. First of all they do not exist. If they did some Hedge fund or trading group with a great deal of money would simply buy the technology and start printing money. Hopefully this book will help you grow into the successful trader you want to become. This is my goal. You will have to work in ways that you probably did not think to. Most new traders do not think they will have to work. They think trading is "easy". They underestimate how hard trading really is. Too many traders go to a weekend course, read a trading book or buy a trading robot. The inevitable occurs that they have a couple of wins and a couple of losses. After experiencing a loss or a bad week, too many traders give up and start looking for, or start trading a different strategy. While the trading strategy they just abandoned is recovering from the drawdown, the new trading strategy may result in yet more losses, so again, they start looking for another. It becomes a vicious cycle. There are always a series of losing periods and the trader says" GET ME OUT OF HERE" or this methodology is junk. They go to another course from some "Guru" or read another trading book. They trade the strategy for a while and again the inevitable happens. Some trades work and some do not and then experience a series of losses. The cycle repeats again and again. Successful trading is to understand what to expect and how to temper those expectations. Let's begin the journey!
The Trend Following Bible
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Author : Andrew Abraham
language : en
Publisher: John Wiley & Sons
Release Date : 2012-12-17
The Trend Following Bible written by Andrew Abraham and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-17 with Business & Economics categories.
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.