Download or read book Survival of Commodity Trading Advisors written by Julia Arnold and published by . This book was released on 2014 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the differences in mortality between systematic and discretionary Commodity Trading Advisors, CTAs, over 1994-2009 period, the longest horizon than any encompassed in the literature. This study shows that liquidation is not the same as failure in the CTA industry. New filters are proposed that allow to identify real failures among funds in the graveyard database. By reexamining the attrition rate, this study finds that the real failure rate is in fact 11.1% in the CTA industry lower than the average yearly attrition rate of 17.3%. Secondly this study proposes a new way to classify CTAs, mainly into systematic and discretionary funds and provides detailed analysis of their survival. Systematic CTAs are found to have higher median survival than discretionary, 12 years vs. 8 years. The effect of various covariates including several downside risk measures is investigated in predicting CTA failure. Controlling for performance, HWM, minimum investment, fund age, leverage and lockup, funds with higher downside risk measures have a higher hazard rate. Compared to the other downside risk measures, volatility of returns is less able to predict failure. Fund flows have significant and positive effect on the probability of survival, funds that receive larger inflows are able to survive longer than funds that do not. Finally larger systematic CTAs have the highest probability of survival.
Download or read book Commodity Trading Advisors written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2011-09-02 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Performance Managerial Skill and Factor Exposures in Commodity Trading Advisors and Managed Futures Funds written by S. Burcu Avci and published by Dissertation.com. This book was released on 2019-10-15 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Performance Persistence Flow and Survival of Systematic and Discretionary Commodity Trading Advisors CTAs written by Julia Arnold and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Winning with Managed Futures written by Thomas McCafferty and published by Irwin Professional Publishing. This book was released on 1994-01 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Performance Managerial Skill and Factor Exposures in Commodity Trading Advisors and Managed Futures Funds written by Sureyya Burcu Avci and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "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"--
Download or read book Commodity Trading Advisors CTA as a Mean of Diversification in a Hedge Fund Portfolio written by Michel Guirguis and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity trading advisers, (CTA), or managed futures managers' trade in the commodity market. The hedge funds invest in commodity futures, currencies, bonds and shares. Hedge funds use managed futures in terms of indices, treasuries, fixed-income securities and commodities such as gold, silver, oil, corn, cocoa, sugar etc. Combining managed futures with shares and bonds provide better returns with lower risk or mean variance optimal solution. The optimization is due to the negative or low correlation and better diversification between managed futures and traditional investments such as bonds and shares. Our results suggest that the efficient frontier is achieved by adding managed futures. In other words, we get highest return with low risk. The standard deviation as a measure of risk is reduced and the Sortino ratio, which measures the downside risk, is increased by over 50%. The downside volatility of a mixed portfolio of managed futures, bonds and shares is better represented by the Sortino ratio. The sample is provided from Data Feeder data set. It is very comprehensive and includes managed futures hedge funds for the period 1998 to 2003. The database includes defunct funds and funds that ceased to operate and, therefore, is free from survivorship bias.
Download or read book Performance Persistence of Commodity Trading Advisors written by Alexander Allié and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates performance persistence of Commodity Trading Advisors (CTA) applying a regression-based parametric method in combination with a two-period framework and alpha as a risk-adjusted performance measure. Covering the time period 1995 to 2008, monthly returns of 642 CTAs across five CTA strategies are included in the analysis. To extract alphas, strategy-specific multi-factor models are constructed using stepwise regressions and 25 risk factors, which include equities, bonds, commodities, currencies and option-based factors. In the persistence investigation the alpha of the current period is regressed on the alpha of the previous period with time periods of one, three and six months as well as one and two years examined. The empirical analysis suggests that CTAs have statistically significant exposure to trend following and commodity factors and positive significant alphas. Overall, depending on the estimation method used, there is weak to some evidence for performance persistence. 72% of all significant coefficients of the alpha regressions are negative indicating that performance generally does not persist, but that a period of high (low) alpha tends to be followed by a period of low (high) alpha. While the coefficients for 1-month periods are always insignificant and mostly positive, the coefficients become increasingly significant and negative as the time periods lengthen.
Download or read book Commodity Trading Advisors written by Christian Jurado and published by . This book was released on 2010 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Composite Performance of Commodity Trading Advisors written by David F. McCarthy and published by . This book was released on 1993 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Principal Components Analysis of Commodity Trading Advisors written by Romano Rodolfo Brandenberg and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity markets have gained a lot of momentum in the past decade. Some commodity fund managers or commodity trading advisors (CTA) have seen this trend emerge in the early 1980ies. They have developed so-called systematic trend following strategies to rake in huge profits for their investors. Today, about 180 billion USD are managed by CTAs. Even though this sounds like a lot of money, CTAs only account for 4.4% of the multi trillion USD hedge fund industry. However for diversification reasons, CTAs have seen rapidly increasing demand in the past fifteen years. As of the third quarter of 2007 the assets under management in CTAs have increased by a factor of three since 2000 and a factor of nine since 1990. For investors though, who would like to invest in CTAs, it is challenging to find out what commodities a CTA really trades because of the limited transparency of such funds. The thesis at hand aims to contribute to this issue by analysing a sample of thirty-eight CTAs with the help of the principal components analysis and the style analysis.
Download or read book Fooling Some of the People All of the Time written by Geetesh Bhardwaj and published by . This book was released on 2013 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors face significant barriers in evaluating the performance of hedge funds and commodity trading advisors (CTAs). The only available performance data comes from voluntary reporting to private companies. Funds have incentives to strategically report to these companies, causing these data sets to be severely biased. And, because hedge funds use nonlinear, state-dependent, leveraged strategies, it has proven difficult to determine whether they add value relative to benchmarks. We focus on commodity trading advisors, a subset of hedge funds, and show that during the period 1994-2012 CTA excess returns to investors (i.e., net of fees) averaged 1.8 per cent per annum over US T-bills, which is insignificantly different from zero. We estimate that CTAs on average earned gross excess returns (i.e., before fees) of 6.1%, which implies that funds captured most of their performance through charging fees. Yet, even before fees we find that CTAs display no alpha relative to simple futures strategies that are in the public domain. We argue that CTAs appear to persist as an asset class despite their poor performance, because they face no market discipline based on credible information. Our evidence suggests that investors' experience of poor performance is not common knowledge.
Download or read book Composite Performance of Commodity Trading Advisors written by David F. McCarthy and published by . This book was released on 1995 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fooling Some of the People All of the Time written by Geetesh Bhardwaj and published by . This book was released on 2008 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors face significant barriers in evaluating the performance of hedge funds and commodity trading advisors (CTAs). The only available performance data comes from voluntary reporting to private companies. Funds have incentives to strategically report to these companies, causing these data sets to be severely biased. And, because hedge funds use nonlinear, state-dependent, leveraged strategies, it has proven difficult to determine whether they add value relative to benchmarks. We focus on commodity trading advisors, a subset of hedge funds, and show that during the period 1994-2007 CTA excess returns to investors (i.e., net of fees) averaged 85 basis points per annum over US T-bills, which is insignificantly different from zero. We estimate that CTAs on average earned gross excess returns (i.e., before fees) of 5.4%, which implies that funds captured most of their performance through charging fees. Yet, even before fees we find that CTAs display no alpha relative to simple futures strategies that are in the public domain. We argue that CTAs appear to persist as an asset class despite their poor performance, because they face no market discipline based on credible information. Our evidence suggests that investors' experience of poor performance is not common knowledge.
Download or read book Alternative Approach to Measuring Risk Adjusted Performance of Commodity Trading Advisors written by Roger Prinz and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Conditions for Survival written by William N. Goetzmann and published by . This book was released on 2008 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate whether hedge fund and commodity trading advisor [CTA] return variance is conditional upon performance in the first half of the year. Our results are consistent with the Brown, Harlow and Starks (1994) findings for mutual fund managers. We find that good performers in the first half of the year reduce the volatility of their portfolios, but not vice-versa. The result that manager quot;variance strategiesquot; depend upon relative ranking not distance from the high water mark threshold is unexpected, because CTA manager compensation is based on this absolute benchmark, rather than relative to other funds or indices. We conjecture that the threat of disappearance is a significant one for hedge fund managers and CTAs. An analysis of performance preceding departure from the database shows an association between disappearance and underperformance. An analysis of the annual hazard rates shows that performers in the lowest decile face a serious threat of closure. We find evidence to support the fact that survivorship and backfilling are both serious concerns in the use of hedge fund and CTA data.
Download or read book Angolo Grigionese written by and published by . This book was released on 1962 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
