Download e-book for kindle: Commodity Trading Advisors: Risk, Performance Analysis, and by Greg N. Gregoriou

By Greg N. Gregoriou

ISBN-10: 0471681946

ISBN-13: 9780471681946

I've got examine 50 books on cash administration, buying and selling, and making an investment. each ebook up till this one supplied little gold nuggets of knowledge to assist my making an investment. This ebook was once so tricky to learn it was once like from one other global. this is an instance of what you can find within the book:

Data envelopment research, a mathematical programming method, was once first constructed by way of Charnes, to degree the potency or functionality of person decision-making devices (DMU's) in generating a number of outputs from a number of inputs. not like a parametric strategy, which calls for the researcher to make occasionally arbitrary assumptions in regards to the functional... You get the drift.

Anyway this ebook was once a whole waste of cash. I kick myself for no longer doing right examine earlier than spending my $55. The e-book isn't worthwhile in making a choice on a CTA. the single factor this booklet is nice for is beginning a fireplace. i'm going to placed it with my camping out stuff and use it for that goal.

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Additional info for Commodity Trading Advisors: Risk, Performance Analysis, and Selection

Example text

Without managed futures, increasing the alternatives allocation will significantly raise the expected return. 1 Standard Deviation 50/50 Portfolios of Stocks, Bonds, Hedge Funds, and Managed Futures tion increases, however, the expected return will drop. 1). On the risk front the picture is much more interesting. 2 show that investing in alternatives can substantially reduce the overall portfolio return’s standard deviation, for 50/50 as well as 33/66 investors. The drop, however, is heavily dependent on the percentage of managed futures in the alternatives portfolio.

For our purposes, one of the most important features of managed futures is their trend-following nature. That CTA returns have a strong trendfollowing component can be shown by calculating the correlation between managed futures returns and the returns on a purely mechanical trendfollowing strategy. One such strategy underlies the Mount Lucas Management (MLM) index, which reflects the results of a purely mechanical, movingaverage-based, trading strategy in 25 different commodity and financial futures markets.

Then we combine the alternatives portfolio with stocks and bonds. We vary the managed futures allocation in the alternatives portfolio as well as the alternatives allocation in the overall portfolio from 0 percent to 100 percent in 5 percent steps. Without managed futures, increasing the alternatives allocation will significantly raise the expected return. 1 Standard Deviation 50/50 Portfolios of Stocks, Bonds, Hedge Funds, and Managed Futures tion increases, however, the expected return will drop.

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Commodity Trading Advisors: Risk, Performance Analysis, and Selection by Greg N. Gregoriou


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