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Contents Listing

Preface.
Acknowledgments.
Introduction.
Editors.
Authors
Introduction.
SECTION I: PERFORMANCE.
1. Managed Futures and Hedge Funds: A Match Made in Heaven (Harry M. Kat).
2. Benchmarking the Performance of CTAs (Lionel Martellini & Mathieu Vaissié).
3. Performance of Managed Futures: Persistence and the Source of Returns (B. Wade Brorsen & John P. Townsend).
4. CTA Performance, Survivorship Bias and Dissolution Frequencies (Daniel Capocci).
5. Commodity Trading Advisor Performance Evaluation with Data Envelopment Analysis (Kathryn Wilkens, Gwenevere Darling and Kankana Mukherjee).
6. The Performance of CTAs in Changing Market Conditions (Georges Hübner & Nicolas Papageorgiou).
7. CTA Appraisal Using Data Envelopment Analysis (Fernando Diz, Greg N. Gregoriou, Fabrice Rouah and Stephen Satchell).
SECTION II: VOLATILITY.
8. The Effect of Large Hedge Fund and CTA Trading on Futures Market Volatility (Scott H. Irwin k& 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 (Bashwar Gupta and Manolis Chatiras).
11. Managing Downside Risk in Return Distributions Using Hedge Funds, Managed Futures and Commodity Indices (Mark Anson).
SECTION III: MANAGED FUTURES INVESTING, FEES AND REGULATION.
12. Managed Futures Investing (James Hedges).
13. The Effect of Management and Incentive Fees on the Performance of Commodity Trading Advisors: A Note (Fernando Diz).
14. Managed Futures Funds and Other Fiduciary Products–The Australian Regulatory Model (Paul U. Ali).
SECTION IV: PROGRAM EVALUATION, SELECTION, DIVERSIFICATION and RETURNS.
15. How to Design a Commodity Trading Futures Program (Hillary Till and Joseph Eagleeye).
16. Choosing the Right CTA: A Contingent Claim Approach (Zsolt Berenyi).
17. CTA’s and Portfolio Diversification: A Study Through Time (Nicolas Laporte).
18. Random Walk Behavior of CTAs (Greg N. Gregoriou and Fabrice Rouah).
19. CTA Strategies for Returns-Enchacing Diversification (David Kuo Chuen Lee, Francis Koh, Kok Fai Phoon).
20. Incorporating CTA into the Asset Allocation Process: A Mean-Modified VaR Framework (Maher Kooli).
21. ARMA Modelling of CTA Returns (Vassilios N. Karavasand L. Joe Moffitt).
22. Risk-Adjusted Returns of CTA’s: Using the Modified Sharpe Ratio (Robert Christopherson and Greg N. Gregoriou).
23. Time Diversification: The Case of Managed Futures (François-Serge Lhabitant and A. Green).