commodity trading advisor Concepts

Commodity Trading Advisors: Risk, Performance Analysis, and Selection

by Greg N. Gregoriou, Vassilios Karavas, François-Serge Lhabitant and Fabrice Douglas Rouah · 23 Sep 2004

engineering, valuation, and financial instrument analysis, as well as much more. For a list of available titles, visit our web site at www.WileyFinance.com. Commodity Trading Advisors Risk, Performance Analysis, and Selection GREG N. GREGORIOU VASSILIOS N. KARAVAS FRANÇOIS-SERGE LHABITANT FABRICE ROUAH John Wiley & Sons, Inc. To my mother Evangelia,

…

various asset classes having negative to low correlation. The performance attributes of the various asset classes are independent among themselves and are not highly correlated. Commodity trading advisors (CTAs), which typically exhibit low and negative correlation with stock and bond markets, can help to provide downside protection during volatile and bear markets.

…

funds and managed futures are shown to exhibit even more desirable diversification properties. Chapter 2 presents an original methodology for constructing a representative and pure commodity trading advisor (CTA) index that addresses some of the crucial issues investors can face during the allocation process. Using this index as a reference, the chapter

…

the assumptions made, giving up much in terms of expected return. MANAGED FUTURES The asset class “managed futures” refers to professional money managers known as commodity trading advisors (CTAs) who manage assets using the global futures and options markets as their investment universe. Managed futures have been available for investment since 1948,

…

anaged futures investments are shown to exhibit a small amount of performance persistence. Thus, there do appear to be some differences in the skills of commodity trading advisors. The funds with the highest returns used long-term trading systems, charged higher fees, and had fewer dollars under management. Returns were negatively correlated

…

null hypothesis, this research seeks to determine whether performance persists for managed futures advisors. The data used are from public funds, private funds, and commodity trading advisors (CTAs). Regression analysis is used to determine whether all funds have the same mean returns. This is done after adjusting for changes in overall returns

…

during the period from 2000 to 2002. For both time periods, fund size is not related to efficiency scores. W INTRODUCTION Industry performance reports for commodity trading advisors (CTAs) present multiple performance measures such as return, standard deviation, drawdowns, betas, and alphas. Investors and fund managers recognize the importance of considering a

…

to implement their strategy. The name wrongly suggests that futures are the dog rather than the tail. Managed futures encompass the broad set of individual commodity trading advisors (CTAs). CTAs are also unfortunately named because, on balance, most of their trading is in the financial markets, not the commodity markets. Like any

…

Russian crisis has a uniform, although insignificant, negative impact on CTA abnormal returns. T INTRODUCTION Since the blossoming of an extensive literature on hedge funds, commodity trading advisors (CTAs) have profited from renewed interest among researchers. Following the initial studies by Brorsen and Irwin (1985) and Murphy (1986), Elton, Gruber, and Rentzler

…

that have achieved superior performance or have an efficiency score of 100 in a risk/return setting. W INTRODUCTION Research into the performance persistence of commodity trading advisors (CTAs) is sparse, so there is little information on the long-term diligence of these managers (see, e.g., Edwards and Ma 1988; Irwin,

…

in this study indicates that trading by large hedge funds and CTAs is based on private fundamental information. INTRODUCTION In recent years, hedge funds and commodity trading advisors (CTAs) have drawn considerable attention from regulators, investors, academics, and the general public.1 Much of the attention has focused on the concern that

…

of Managed Futures Mark Anson and Ho Ho ertain hedge fund strategies create investment positions that resemble a long put option. Specifically, managed futures or commodity trading advisors have significant exposure to volatility events. This exposure is positively related to volatility much like a long option position. We identify and measure this

…

long volatility exposure, which may not always be transparent from the trading positions of a commodity trading advisor. We also examine ways to apply these long volatility strategies to improve risk management. C INTRODUCTION The managed futures industry has come full circle

…

. In the early 1990s, global macro funds were the predominant form of the hedge fund industry. These funds were primarily managed futures funds run by commodity trading advisors (CTAs). As the 1990s progressed, other types of hedge fund strategies came to the forefront, such as relative value arbitrage, event driven, merger arbitrage,

…

skill and insight can be applied regardless of whether the stock or bond markets are rising or falling, providing the absolute return benefits described above. Commodity trading advisors have one goal in mind: to capitalize on price trends in futures markets. Typically, CTAs look at various moving averages of commodity prices and

…

models such GARCH (generalized auto-regressive conditional heteroskedasticity) to forecast both price trends and volatility changes. Prior empirical studies have indicated that managed futures, or commodity trading advisors, have investment strategies that tend to be long volatility. Fung and Hsieh (1997a) found that trend-following styles have a return profile similar to

…

the diversification properties as well as risk management of managed futures. The term “managed futures” represents an industry composed of professional money managers known as commodity trading advisors (CTAs) who manage client assets on a discretionary basis using global futures and options markets (CISDM 2002). The risks in managed futures are inherently

…

investors seek. Managed futures strategies might provide diversification for a stock and bond portfolio because the returns are dependent on the special skill of the commodity trading advisor (CTA) rather than any macroeconomic policy decisions made by central bankers or government regimes. (See, e.g., McCarthy, Schneeweis, and Spurgin 1996; Schneeweis, Spurgin,

…

change in value in accordance with price fluctuations and improves portfolio performance because they typically have zero correlation to traditional markets. The analysis investigates how commodity trading advisors use global futures and options markets as an investment medium. M INTRODUCTION As global investors continue to seek ways to diversify their portfolios, an

…

The strategy’s disadvantages may include a high degree of volatility, high fees, and the high level of advisor attention required (see Figure 12.4). Commodity trading advisors (CTAs) who use global futures and options markets as an investment medium note that managed futures investing differs from hedge fund and mutual fund investing

…

with larger amounts of assets under management to have slightly better performance. T INTRODUCTION This chapter empirically examines the effect of incentive compensation contracts of commodity trading advisors (CTAs) on their performance. The analysis is an extension of Golec (1993) and examines the effects of incentive compensation contracts on the risk and

…

analyze the robustness of this kind of efficiency measurement with respect to the number of moments used. M INTRODUCTION Commodity funds, which are managed by commodity trading advisors (CTAs), belong to the modern alternative investment class. Managed commodity funds (managed futures) are publicly offered investment vehicles that invest in futures and options

…

with time as the third variable. It assesses the evolution of the CTAs’ diversification abilities in a portfolio environment over the last decade. T INTRODUCTION Commodity trading advisors (CTAs) are professional money managers. They manage the assets of their clients using derivative instruments (futures, forwards, and options) on commodities and money markets

…

could be compromised when pure random walk behavior is identified. T INTRODUCTION This chapter investigates whether monthly percent changes in net asset values (NAVs) of commodity trading advisor (CTA) classifications follow random walks. Previous econometric studies of financial time series have employed unit root tests, such as the Augmented Dickey-Fuller test

…

, and precious metals Stock Index 17 0.2 Specialize in stock index futures and options Source: T. Schneeweis, R. Spurgin, and G. Georgiev. “Benchmarking Commodity Trading Advisor Performance with a Passive Futures-Based Index.” CISDM Working Paper, Isenberg School of Management, University of Massachusetts, Amherst, MA, 2001, p.14. The ADF test

…

Review, “2002 Financial Report,” 2003). Alternative investments include hedge funds, private equity, and venture capital as well as commodity pools, also referred to as commodity trading advisors (CTAs). In the current low-interest environment compounded by somewhat bearish equity market sentiments, investors have been flocking to alternative investments to enhance their returns

…

Futures Association and has exclusive jurisdiction over all U.S. commodity futures trading, futures exchanges, futures commission merchants, and their agents, floor brokers, floor traders, commodity trading advisors, commodity pool operators, leverage transaction merchants, and any associated persons of any of the foregoing. CTAs are subject to higher standard of compliance, including disclosure

…

, distressed securities, private equity, private debt, oil and gas programs, and timber or farmland. However, other alternative investment vehicles, such as hedge funds and commodity trading advisors (CTAs), also have observed a dramatic increase in investment and often provide access to 358 Incorporating CTAs into the Asset Allocation Process 359 investment not

…

optimal proportion of assets to invest in such products. 1 The term “managed futures” describes an industry made up of professional money managers known as commodity trading advisors. These trading advisors manage client assets on a discretionary basis using global futures markets as an investment medium. 360 PROGRAM EVALUATION, SELECTION, AND RETURNS

…

ratio is also improved by adding CTA investments in the traditional portfolio. TABLE 20.3 Upper and Lower Limits for Individual Asset Classes Asset Class Commodity trading advisors Canadian equities U.S. equities International equities Canadian bonds Minimum Maximum 0% 10% 0% 10% 40% 30% 0% 25% 30% 50% 364 PROGRAM EVALUATION,

…

larger CTAs possess high modified Sharpe ratios. M INTRODUCTION The assessment of portfolio performance is fundamental for both investors and funds managers, as well as commodity trading advisors (CTAs). Traditional portfolio measures are of limited value when applied to CTAs. For instance, applying the traditional Sharpe ratio will overstate the excess reward

…

retirement fund planning. However, we have not yet found any research devoted to the validity of time diversification for alternative investments, and more specifically to commodity trading advisors (CTAs). This is rather surprising, as CTAs are well known for their diversification benefits from a portfolio standpoint—what some people call space diversification.

…

markets. Next we describe the methodology and discuss the major findings. In the last section we draw conclusions and open the way for further research. COMMODITY TRADING ADVISORS Commodity trading advisors, also known as managed futures or trading advisors, are individuals or organizations that trade derivative instruments such as futures, forward contracts, and options on behalf

…

“CTA Survivor and Nonsurvivor: An Analysis of Relative Performance.” Journal of Alternative Investments, Vol. 2, No. 1, pp. 57–71. 404 REFERENCES Diz, F. (2003) “Commodity Trading Advisors’ Leverage and Reported Margin to Equity Ratios.” Journal of Futures Markets, Vol. 23, No. 10, pp. 1003–1017. Diz, F., and R. Shukla. (2003) “Incentive

…

Performance II. Statistical Procedures for Evaluating Forecasting Skills.” Journal of Business, Vol. 54, No. 4, pp. 513–533. Holt, B. R. (1999) Hedge Funds, Commodity Trading Advisors, and Commodity Pool Operators: The Effects of Their Futures Trading Volume on Market Volatility. MS thesis, Department of Agricultural and Consumer Economics, University of Illinois

…

Gains Tax and the Capital Asset Pricing Model.” Accounting and Finance, Vol. 43, No. 2, pp. 187–210. McCarthy, D. F. (1995) “Consistency of Relative Commodity Trading Advisor Performance.” Unpublished thesis, University College Dublin, Ireland. McCarthy, D., T. Schneeweis, and R. Spurgin. (1996) “Investment Through CTAs: An Alternative Managed Futures Investment.” Journal

…

Four Ways.” New York: RiskMetrics Group, Working Paper. Miron, J. (1996) The Economics of Seasonal Cycles. Cambridge, MA: MIT Press. Mitev, T. (1998) “Classification of Commodity Trading Advisors Using Maximum Likelihood Factor Analysis.” Journal of Alternative Investments, Vol. 1, No. 2, pp. 40–46. Morey, M. R., and R. C. Morey. (1999) “

…

Returns and Risk Characteristics.” CISDM Working Paper, Isenberg School of Management, University of Massachusetts, Amherst, MA. Schneeweis, T., R. Spurgin, and G. Georgiev. (2001) “Benchmarking Commodity Trading Advisor Performance with a Passive Futures-Based Index.” CISDM Working Paper, Isenberg School of Management, University of Massachusetts, Amherst, MA. Schneeweis, T., R. Spurgin, and D

…

. McCarthy. (1996) “Survivor Bias in Commodity Trading Advisors Performance.” Journal of Futures Markets, Vol. 16, No. 7, pp. 757–772. 414 REFERENCES Schneeweis, T., R. Spurgin, and M. Potter. (1996) “Managed Futures

…

, 7, 229–231. See also Design of commodity futures trading program Commodity Futures Trading Commission (CFTC), 154–155, 240–241, 260n1, 260n2, 339, 387 Commodity trading advisors (CTAs), xxv. See also Managed futures; specific topics backfilling bias for hedge funds vs., 19 benefits of, xxv characteristics of, 361–362 comparison of hedge

…

–160, 163–165, 169–181 CSFB/Tremont Index, see Credit Suisse First Boston Tremont Managed Futures Index CSOs, see Collateralized synthetic obligations Index CTAs, see Commodity trading advisors CTA Global Index, 58–74, 119–121 CTA Qualified Universe index (CTA QU), 361, 362, 364 Currency portfolios, 209–212 Daniel B. Stark & Co.

…

and value at risk, 195–198 Losses, investing with CTAs after, 45–47 Macroportfolio hedging, 286–287 Managed Account Reports, 51 Managed futures. See also Commodity trading advisors; specific topics advantages of, 237–238 in alternatives allocation, 11–15 and asset allocation, 24–26 as asset class, 6 for downside return protection,

The Invisible Hands: Top Hedge Fund Traders on Bubbles, Crashes, and Real Money

by Steven Drobny · 18 Mar 2010 · 537pp · 144,318 words

distinguished from more systematic approaches, which rely heavily on quantitative models based on historical data to take diversified positions in a large number of markets (commodity trading advisors, for example). Although these quantitative strategies may trade the same markets (currencies, fixed income, equity indices, etc.), the emphasis is on extracting technical signals rather

…

of volatility, both from long-only players entering the market through indices and other means, and from the growing size and influence of CTA’s (commodity trading advisors). While some question whether speculative flows are fundamental to the functioning of the market, for me, it is clear that such flows have had a

Hedge Fund Market Wizards

by Jack D. Schwager · 24 Apr 2012 · 272pp · 19,172 words

to do, and as he says, “It turned out okay.” Ramsey trades the highly liquid futures and foreign exchange (FX) markets. Although the majority of Commodity Trading Advisors (CTAs) 1 use a systematic approach, Ramsey is strictly a discretionary trader. He also differs from most CTAs by incorporating fundamentals into his decisionmaking process

…

characteristics of trading success. For Ramsey, however, I suspect such commitment is not a burden, as trading is a passion, not a chore. 1The term Commodity Trading Advisor is the official designation for managers registered with the Commodity Futures Trading Commission (CFTC) and members of the National Futures Association (NFA), and is a

…

managers who trade futures and are registered with the Commodity Futures Trading Commission (CFTC). This official nomenclature is poorly chosen on at least two grounds: Commodity Trading Advisors are managers, not advisors, and a large majority of the trading they engage in is in financial markets (e.g., stock indexes, interest rates, and

…

(film) Casino games. See Gambling Catalyst theory Category-based thinking Celanese Chinese coal market Chipotle Citigroup Clark, Steve Claugus, Thomas Collateralized debt obligations (CDOs) Commissions Commodity Trading Advisors (CTAs). See also Ramsey, Scott; Woodriff, Jaffray Company conference calls The Complete Turtle Trader (Covel) Computer strategies, early Concept stocks Constraining monthly losses Contrarian investing

…

Flexibility Forward conversions Forward pricing Free cash flow (FCF) Free markets Fundamental analysis. See also Taylor, Martin Fund asset size Fund capacity Futures traders. See Commodity Trading Advisors (CTAs) Gain to Pain ratio Gambling baccarat system blackjack system compared to investing roulette system Gate provision Gating Geismar, Michael Gerard, Ralph Giuliani, Rudolph Gold

The New Science of Asset Allocation: Risk Management in a Multi-Asset World

by Thomas Schneeweis, Garry B. Crowder and Hossein Kazemi · 8 Mar 2010 · 317pp · 106,130 words

117 119 120 120 122 126 132 Contents CHAPTER 7 Sources of Risk and Return in Alternative Investments Asset Class Performance Hedge Funds Managed Futures (Commodity Trading Advisors) Private Equity Real Estate Commodities Notes CHAPTER 8 Return and Risk Differences among Similar Asset Class Benchmarks Making Sense Out of Traditional Stock and Bond

…

in the months in which the S&P 500 had its best performance. MANAGED FUTURES (COMMODITY TRADING ADVISORS) The term “managed futures” represents an industry composed of professional money managers known as commodity trading advisors (CTAs) or commodity pool operators (CPOs). Commodity trading advisors or commodity pool operators manage client assets on a discretionary basis, using forwards, futures, and

…

mutual fund. Investments from several investors are pooled together and then invested in futures either directly by the pool operator or through one or more commodity trading advisor. CPOs may be either public or private. Currently several noninvestable as well as investable manager based CTA indices are available. 144 0.39 1.00

…

models or discretionary approaches. For systematic trend-following global macro managers who trade primarily in futures and option markets, returns are similar to those of commodity trading advisors. CASAM/CISDM Fund of Funds Index (CISDM Fund of Funds): The median performance of all hedge fund of funds managers reporting to the CASAM/ CISDM

…

reflect either a single strategy or a wide range of underlying hedge fund strategies. CTA INDICES Barclay CTA Index: A benchmark of representative performance of commodity trading advisors reporting to the Barclay Group. The Barclay CTA Index for the year 2009 is unweighted and rebalanced at the beginning of each year. CASAM/CISDM

…

-Based Strategies for Institutional Portfolios.” The Journal of Alternative Investments 3, No. 4 (Spring 2001): 44–52. Schneeweis, T., R. Spurgin, and G. Georgiev. “Benchmarking Commodity Trading Advisor Performance with a Passive Futures-Based Index.” CISDM Working Paper, 2000. Schneeweis, T., R. Spurgin, and H. Kazemi. “Eurex Derivative Products in Alternative Investments: The

…

, 162–163 volatility, 182, 185 Commodity Futures Trading Commission (CFTC), 11 Commodity pool operators (CPOs), 143 Commodity Research Bureau, 265, 266 Commodity risk, 196 Commodity trading advisors. See CTAs (commodity trading advisors) Conditional model, 41 Conditional performance evaluation, 53–54 Constant proportional portfolio insurance (CPPI), 107 Convexity, 49–50 Core allocation, 110–133 Correlation analysis, 34

…

–197 Covariance. See Variance-covariance matrix of returns Covered call, 206–208, 210–211 Credit risk, 103, 196–197, 198 Credit spread, 52, 139 CTAs (commodity trading advisors), 59, 61, 143–148 indices, 189, 190, 274–275 Currencies, 63 Currency risk, 196 289 Decision-making, 120–122 and discretion, 226–239 Decomposition, 34

Inside the House of Money: Top Hedge Fund Traders on Profiting in a Global Market

by Steven Drobny · 31 Mar 2006 · 385pp · 128,358 words

tool. Over time, maybe it will develop into a trading system, which would be great because one thing we all know is that, on average, Commodity Trading Advisors’ (CTA) trading models work. What are some trades that you have in your absolute return book right now? Is India in there? I would count

…

psyche. It’s one of those things where you have to be careful what you wish for—it may just come true.The hedge fund/Commodity Trading Advisor (CTA) game is getting to the point where it’s starting to turn in on itself. 204 INSIDE THE HOUSE OF MONEY In the currency

…

to a position that is going your way has always been a tough one for fundamental discretionary traders but a hallmark of systematic black box Commodity Trading Advisors (CTAs). Has the huge increase in capital allocated to CTAs (see Figure 12.3) forced you to change your style? It’s changed a little

…

in my macro call, I’m going to lever into it and if I am wrong, I am going to reduce leverage. This is why Commodity Trading Advisors (CTAs) or black box trading systems work. I was always extremely skeptical of CTAs until I started trading macro and understood that the main drivers

…

, 264–267, 302. See also specific types of commodities Commodities Corporation (CC), 9–10 Commodity market, 6–7, 9–10 Commodity Specialist, see Anderson, Dwight Commodity Trading Advisors (CTAs), 67, 203, 258–259, 332 Computer technology, economic impact, 203 Confidence, significance of, 137, 153–154 Consumer price index (CPI), 276, 312 Consumer spending

All About Asset Allocation, Second Edition

by Richard Ferri · 11 Jul 2010

-up companies. Directional or tactical strategies. The largest group of hedge funds uses directional or tactical strategies. An example of a directional fund is a commodities trading advisor (CTA). CTAs use charts and mathematical models to identify trends in global futures markets. CTAs may go long or short a market to profit from

Expected Returns: An Investor's Guide to Harvesting Market Rewards

by Antti Ilmanen · 4 Apr 2011 · 1,088pp · 228,743 words

(futures) CPIyoy Consumer Price Inflation year on year CRB Commodity Research Bureau CRP Credit Risk Premium (over Treasury bond) CRRA Constant Relative Risk Aversion CTA Commodity Trading Advisor DDM Dividend Discount Model DJ CS Dow Jones Credit Suisse DMS Dimson–Marsh–Staunton D/P Dividend/Price (ratio), dividend yield DR Diversification Return E

…

. If hedge funds can be characterized as an asset class, then the list of alternatives may be extended to include managed futures (typically momentum-oriented commodity-trading advisors or CTAs), global tactical asset allocation managers (typically value-oriented investors), active FX, volatility trading, alternative betas and hedge fund replication, as well as investments

…

studies make adjustments for survivorship and backfill biases, few studies are able to quantify selection, liquidation, lookback, and lookahead biases. Box 11.4. CTA performance Commodity trading advisors (CTAs) or managed futures may be viewed either as a subset of HFs or as a distinct but close cousin. Unlike most HFs, CTAs tend

…

diversified portfolio of them, the SR is between 0.5 and 1.0—at the higher end if volatility weighting is used. However, actual CTAs (commodity trading advisors) rarely have as good SRs as these simulated strategies. • Momentum patterns likely reflect behavioral factors—investor underreaction to news and overreaction to recent returns (extrapolating

…

. Bhardwaj, Geetesh; Gary B. Gorton; and K. Geert Rouwenhorst (2008), “Fooling some of the people all of the time: The inefficient performance and persistence of commodity trading advisors,” ICF working paper 08-21, Yale University. Bhojraj, Sanjeev; and Bhaskaran Swaminathan (2006), “Macromomentum: Returns predictability in international equity indices,” Journal of Business 79(1

…

trading advisors value indicators commodity momentum performance rational stories simple strategies trend following tweaks when it works well why it works see also momentum strategies commodity trading advisors (CTAs) composite ranking cross-asset selection models compound returns conditioners confirmation bias conservatism constant expected returns constant relative risk aversion (CRRA) Consumption CAPM consumption/wealth

…

” cross-asset selection forecasting models cross-sectional market relations cross-sectional trading CRP see credit risk premium CRRA see constant relative risk aversion CTAs see commodity trading advisors currency base of returns carry empirical “horse races” equity value strategies inflation see also foreign exchange currency carry baseline variants combining carry conditioners costs diversification

Trade Your Way to Financial Freedom

by van K. Tharp · 1 Jan 1998

to meet. DESIGNING OBJECTIVES: A MAJOR PART OF YOUR SYSTEM WORK I once worked with a man whose job was to give money to budding commodity trading advisors (CTAs). Part of his job was to assess the various systems that these CTAs had developed, and many people considered him to be one of

…

Winning Trading System That Fits You workshops. Chuck is now retired and lives near Sedona, Arizona. When he was an active trader, he was a commodity trading advisor (CTA), and later on he had his own hedge fund.4 You might wonder why I asked Chuck, who has such an extensive technical background

…

Chapter 7. It is one of the most important topics that you need to understand as a trader or investor. 2. The CFTC requires that commodity trading advisors include a statement in their advertisements and disclosure documents that says that past results do not reflect upon future results. 3. Tom Basso is now

…

Climax setups, 230–231 Colby, Robert W., 271 Commissions, 391 Commodities: intercontract spreading and, 127–128 prices of, growth of emerging economies and, 169–170 Commodity trading advisors (CTAs), 49 Component data, setups and, 235 Computer Analysis of the Futures Market (LeBeau and Lucas), 74, 85, 102 Concepts, 97–151 arbitrage, 79–80

Trend Following: How Great Traders Make Millions in Up or Down Markets

by Michael W. Covel · 19 Mar 2007 · 467pp · 154,960 words

skip that three-decade learning curve. About Larr y Hite Larry Hite founded Mint Investments in 1983. By 1990, Mint Investments had become the largest commodity trading advisor in the world in terms of assets under management. Mint’s achievements won Hite and his team industry-wide acclaim, and in 1990, Jack Schwager

…

and track monthly performance numbers. One organization gives a “star ranking” (like Morningstar): “The quantitative rating system employed ranks and rates the performance of all commodity trading advisors (CTA)…Ratings are given in four categories: a) equity, b) performance, c) risk exposure, and d) risk-adjusted returns. In each category, the highest possible

…

of Richard Donchian, dismisses out of hand that trend following is not for stocks: “Originally in the 1950s, technical models came out of studying stocks. Commodity Trading Advisors (CTA) applied these to futures. In the late 1970s and early 1980s, stocks were quiet and futures markets took off. That is how the CTA

…

of the paper, taking a stab at trend traders (commonly referred to by the regulatory name of Commodity Trading Advisor), was: “Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors” The author Geetesh Bhardwaj wrote that paper while working at AIG Financial Products. So Bhardwaj was part

…

.html. 6. The Winton Papers. www.wintoncapital.com. 7. Daniel P. Collins, Seeding Tomorrow’s Top Traders; Managed Money; Dunn Capital Management Provides Help to Commodity Trading Advisor Start-ups. Futures, No. 6, Vol. 32, 67, (May 1, 2003) ISSN: 0746-2468. 402 Trend Following (Updated Edition): Learn to Make Millions in Up

…

. 11. The Reason Foundation. See www.reason.org. 12. Daniel P. Collins, Seeding Tomorrow’s Top Traders; Managed Money; Dunn Capital Management Provides Help to Commodity Trading Advisor Start-ups. Futures, No. 6, Vol. 32, 67, (May 1, 2003) ISSN: 0746-2468. 13. Tricycle Asset Management, part of the Market Wizards Tour. Held

…

2003). 24. Jack Reerink, Dunn: Slow Reversal Pays Off. Futures, Vol. 25, No. 3 (March 1996). 25. Carla Cavaletti, Comeback Kids: Managing Drawdowns According to Commodity Trading Advisors. Futures Vol. 27, No. 1 (January 1998), 68. 26. Excerpt from Dunn Capital Management Monthly Commentary for February 2003. 27. Barclay Trading Group, Ltd. Barclay

…

Kaplan, Turning Turtles into Traders. Managed Derivatives (May 1996). 17. Marketing Materials. Dunn Capital Management, Inc. 18. Carla Cavaletti, Comeback Kids: Managing Drawdowns According to Commodity Trading Advisors. Futures, Vol. 27, No. 1 (January 1998), 68. 19. Michael Peltz, John W. Henry’s Bid to Manage the Future. Institutional Investor (August 1996). 20

…

of Drawdown as a Statistical Measure of Risk for Investments.” AIMA Journal, April 2003, 16–17. 21. Carla Cavaletti, Comeback Kids: Managing Drawdowns According to Commodity Trading Advisors. Futures, Vol. 27, No. 1 (January 1998), 68. 22. The Value of a Long-Term Perspective. Marketing Document. John W. Henry and Company, Inc. October

…

1999. 23. Carla Cavaletti, Comeback Kids: Managing Drawdowns According to Commodity Trading Advisors. Futures, Vol. 27, No. 1 (January 1998), 68. 24. Thomas F. Basso, When to Allocate to a CTA?—Buy Them on Sale. 25. New Fans

…

Basso, How to Become a CTA. Based on Chicago Mercantile Exchange Seminars, 1992–1994. June 1994. 19. Carla Cavaletti, Comeback Kids: Managing Drawdowns According to Commodity Trading Advisors. Futures, Vol. 27, No. 1 (January 1998), 68. 20. Michael Peltz, John W. Henry’s Bid to Manage the Future. Institutional Investor (August 1996). 21

…

, Asterias, Ltd. 8. Jerry Parker, The State of the Industry. Managed Account Reports, Inc. (June 2000). 9. Carla Cavaletti, Comeback Kids: Managing Drawdowns According to Commodity Trading Advisors. Futures, Vol. 27, No. 1 (January 1998), 68. 10. Richard Dennis, The State of the Industry. Managed Account Reports, Inc. (June 2000). 11. Bill Dunn

…

empirically. 2. Long volatility: An investing strategy that tends to benefit from increasing volatility and/or persistent directional trends. Often associated with strategies employed by commodity trading advisors from the managed futures industry. 3. Penny stock: Loosely defined as stock with a low nominal share price that typically trades in the over-the

Portfolio Design: A Modern Approach to Asset Allocation

by R. Marston · 29 Mar 2011 · 363pp · 28,546 words

analyzed over the period 1994 to 2009. A subset of this overall index is the Credit Suisse/Tremont Managed Futures index tracking the returns of Commodity Trading Advisors (CTA) who take positions in bond, currency, and equity as well as commodity futures markets.12 Since 1980, the Barclay CTA index has provided another