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Alternative Investments
Commodity Trading Advisors: Risk, Performance Analysis, and Selection

Authors: Edited by Greg N. Gregoriou, Vassilios Karavas, Fabrice Rouah & François-Serge Lhabitant
Editions: John Wiley & Sons
Pages: 424 pages
Date: October 2004
 
 
 
Summary
The explosive growth in the funds flowing into modern alternative investments has heightened the need for research and professional education on hedge funds and commodity trading advisors (CTAs).

CTAs use proprietary trading programs that buy and sell commodities and financial futures around the globe to seize profit opportunities in a variety of markets. They are an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth individuals.

Although the Chartered Alternative Investment AnalystSM programme – the industry’s global professional standard – has covered commodities and managed futures since its inception, hedge funds had so far captured most of the media and publishers’ attention and little had been done to provide investors with a comprehensive review of the fast growing CTAs.

Greg Gregoriou, Vassilios Karavas, Fabrice Rouah and EDHEC Business School associate professor François-Serge Lhabitant have set out to bridge this knowledge gap.

With the help of over 30 leading industry voices, they have delivered an up-to-date, authoritative and accessible book, analysing CTAs from both a quantitative and qualitative perspective.

"Commodity Trading Advisors: Risk, Performance Analysis, and Selection" 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. It covers issues related to CTA investing, fees and regulations. This publication deals extensively with important CTA selection and monitoring issues, such as evaluation, returns and tracking.

Although much of the information relating to CTAs can be technical in nature, the authors distil their expert knowledge in the most straightforward way possible.

Filled with penetrating insights and practical advice from both academics and practitioners, this reference text helps investors and fund managers to understand the complexities of CTAs and find out how to use them as a portfolio diversification tool that can mitigate downside risk in any market.

EDHEC Business School faculty members Georges Hübner, François-Serge Lhabitant and Lionel Martellini, together with current EDHEC-Risk Institute research associates Mathieu Vaissié, Daniel Capocci, and Hilary Till, have authored or co-authored several chapters in this reference text.

About the editors:

Greg N. Gregoriou is Assistant Professor of Finance and Faculty Research Coordinator in the School of Business and Economics at the State University of New York (Plattsburgh). He is the hedge fund editor for Derivatives Use, Trading & Regulation, a London-ase peer-reviewed publication and was awarded the prestigious scholarship from the Institut de Finance Mathématique de Montréal for three years. He currently provides hedge fund and CTA quantitative and qualitative research for a large Canadian firm and specializes in the construction and monitoring of funds of hedge funds using advanced statistical techniques. Greg N. Gregoriou is currently a Research Associate at EDHEC-Risk Institute.

Vassilios N. Karavas is currently Director of Research at Schneeweis Partners in Amherst, Massachusetts. His research focus is on alternative optimization techniques, ranging from disequilibrium market models to hedge fund portfolio selection. He is also a research associate of the Center for International Securities and Derivatives Markets (CISDM).

Fabrice Rouah is an Institut de Finance Mathématique de Montréal Scholar, and a PhD candidate in finance at McGill University. He specializes in the statistical and stochastic modelling of hedge funds, managed futures, and CTAs, and is a regular contributor in peer-reviewed academic publications on alternative investments.

François-Serge Lhabitant has substantial experience in risk management and alternative investments, as both a practitioner and an academic. Formerly, he was a Director at UBS/Global Asset Management and a Member of Senior Management at Union Bancaire Privée, in charge of the quantitative analysis and the management of dedicated hedge fund portfolios. He is currently a Professor of Finance at EDHEC, the French Business School and at the University of Lausanne (Switzerland), and a senior advisor to Kedge Capital. He is the author of four books on hedge fund investing and emerging markets.

Complete list of contributors:

Paul U. Ali; Mark Anson; Zsolt Berenyi; B. Wade Brorsen; Daniel Capocci; Manolis Chatiras; Robert Christopherson; Gwenevere Darling; Fernando Diz; Joseph Eagleeye; A. Green; Greg N. Gregoriou; Bashwar Gupta; James Hedges; Ho Ho; Bryce R. Holt; Georges Hübner; Scott H. Irwin; Vassilios N. Karavas; Harry M. Kat; Nicolas Laporte; François-Serge Lhabitant; Francis Koh; Kok Fai Phoon; Maher Kooli; David Kuo Chuen Lee; Lionel Martellini; L. Joe Moffitt; Kankana Mukherjee; Nicolas Papageorgiou; Fabrice Rouah; Stephen Satchell; Hilary Till; John P. Townsend; Mathieu Vaissié; Kathryn Wilkens.