Relevant bibliographies by topics / Commodity trading advisors

Academic literature on the topic 'Commodity trading advisors'

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Published: 4 June 2021
Last updated: 5 March 2023

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Journal articles on the topic "Commodity trading advisors"

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Gregoriou, Greg N., Razvan Pascalau, and Yao Chen. "Congestion in Commodity Trading Advisors." INFOR: Information Systems and Operational Research 49, no. 1 (February 2011): 63–74. http://dx.doi.org/10.3138/infor.49.1.063.

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Potter, Mark E. "Equity-Based Commodity Trading Advisors." Journal of Alternative Investments 1, no. 1 (June 30, 1998): 41–55. http://dx.doi.org/10.3905/jai.1998.407841.

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Kapil, Sheeba, and Kanwal Nayan Kapil. "Commodity trading advisors (CTAs) for the Indian commodity market." International Journal of Emerging Markets 5, no. 2 (April 13, 2010): 124–37. http://dx.doi.org/10.1108/17468801011031784.

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Black, Keith H. "Survival of Commodity Trading Advisors: 1990–2003." CFA Digest 36, no. 1 (February 2006): 8–10. http://dx.doi.org/10.2469/dig.v36.n1.1803.

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Gregoriou, Greg N., Georges Hübner, Nicolas Papageorgiou, and Fabrice Rouah. "Survival of commodity trading advisors: 1990-2003." Journal of Futures Markets 25, no. 8 (2005): 795–816. http://dx.doi.org/10.1002/fut.20167.

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Gregoriou, Greg N. "Trading efficiency of commodity trading advisors using Data Envelopment Analysis." Derivatives Use, Trading & Regulation 12, no. 1 (May 1, 2006): 102–14. http://dx.doi.org/10.1057/palgrave.dutr.1840044.

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Lam, Pauline P. "Look Beyond the Styles of Commodity Trading Advisors." Journal of Wealth Management 7, no. 2 (July 31, 2004): 63–67. http://dx.doi.org/10.3905/jwm.2004.434567.

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Billingsley, Randall S., and Don M. Chance. "Benefits and Limitations of Diversification Among Commodity Trading Advisors." Journal of Portfolio Management 23, no. 1 (October 31, 1996): 65–80. http://dx.doi.org/10.3905/jpm.1996.409581.

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Mitev, Todor. "Classification of Commodity Trading Advisors Using Maximum Likelihood Factor Analysis." Journal of Alternative Investments 1, no. 2 (September 30, 1998): 40–46. http://dx.doi.org/10.3905/jai.1998.407849.

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Diz, Fernando. "Commodity trading advisors' leverage and reported margin-to-equity ratios." Journal of Futures Markets 23, no. 10 (August 20, 2003): 1003–17. http://dx.doi.org/10.1002/fut.10095.

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Dissertations / Theses on the topic "Commodity trading advisors"

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Brandenberg, Romano Rodolfo. "Principal Components Analysis of Commodity Trading Advisors." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02604577002/$FILE/02604577002.pdf.

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Thomas, Nordia D. "Time frame and its impact on commodity trading advisor performance." Link to electronic thesis, 2004. http://www.wpi.edu/Pubs/ETD/Available/etd-0503104-183909/.

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Rouah, Fabrice. "Essays on hedge funds, operational risk, and commodity trading advisors." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103290.

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Hedge funds report performance information voluntarily. When they stop reporting they are transferred from the "live" pool of funds to the "defunct" pool. Consequently, liquidated funds constitute a subset of the defunct pool. I present models of hedge fund survival, attrition, and survivorship bias based on liquidation alone. This refines estimates of predictor variables in models of survival, leads to attrition rates of hedge funds to be roughly one half those previously thought, and produces larger estimates of survivorship bias. Survival models based on liquidated funds only, lead to an increase in survival time of 50 to 100 percent relative to survival based on all defunct funds.
In addition to refining estimates of survival time, it is useful to examine how the double fee structure of hedge funds and Commodity Trading Advisors (CTA) affects the incentives of their managers. Young CTAs are usually very small --- they hold few financial assets --- and may not meet their operating expenses with their management fee alone, so their incentive is to take on risk and post good returns. As they grow, their incentive to take on risk diminishes. CTAs in their fifth year diminish their volatility by 25 percent relative to their first year, and diminish returns by 70 percent. We find CTAs to behave more like indexers as they grow, concerned with more with capital preservation than asset management.
Operational risk is a major cause of hedge fund and CTA liquidation. In the banking industry, regulators have called upon institutions to develop models for measuring capital charge for operational losses, and to subject these models to stress testing. Losses are found to be inversely related to GDP growth, and positively related to unemployment. Since losses are thus cyclical, one way to stress test models is to calculate capital charge during good and bad economic regimes. We find loss distributions to have thicker tails during bad regimes. One implication is that banks will likely need to increase their capital charge when economic conditions deteriorate.
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Arnold, Julia. "The performance persistence, flow and survival of systematic and discretionary Commodity Trading Advisors (CTAs)." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/12647.

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This thesis studies the performance, performance persistence, survival and flow of Commodity Trading Advisors, also known as CTAs or Managed Futures Funds. One of the main contributions of this thesis is the novel classification of CTA strategies. This is obtained by hand-collecting information frequently by directly contacting the funds in the database. I thus identify two main trading styles: Systematic and Discretionary CTAs which are the main focus of this thesis. I further separate Systematic CTAs into trend-followers with differing trading horizon. This novel dataset allows me to reconsider many hitherto studied issues in the CTA space with an application to these sub-strategies. The first section investigates the differences in mortality between Systematic and Discretionary CTAs, over the longest horizon than of any in the literature. A detailed survival analysis over the full range of CTA strategies is provided. Systematic CTAs have a higher median survival than Discretionary CTAs, 12 vs. 8 years. I hand collect information on reasons for exit from the database. I propose new filters that will better identify real failures among funds in the graveyard database. Separating graveyard funds into real failure I re-examine the attrition rate of CTAs. The real failure rate is 11.1%, lower than the average yearly attrition rate of 17.3% of CTAs. The effect of various covariates including several downside risk measures is investigated in predicting CTA failure. Controlling for performance, HWM, minimum investment, fund age and lockup, funds with higher downside risk measures have a higher hazard rate. Compared to other downside risk measures, the volatility of returns is less able to predict failure. Funds that receive larger inflows are able to survive longer than funds that do not. Large Systematic CTAs have the highest probability of survival. The second part studies the performance and performance persistence of Systematic and Discretionary CTAs. Controlling for biases, after fees the average CTA is able to add value. These results are strongest for large Systematic CTAs. I extend the sevenfactor model of Fung-Hsieh (2004a) and find that this model is better able to explain the returns of Systematic rather than Discretionary CTAs. I find three structural breaks in the risk loadings of CTAs different to hedge fund breaks: September 1998, March 2003 and July 2007. Using these breaks I show that systematic CTAs were able to deliver significant alpha in every sub-period. I also find evidence of significant performance persistence. However, these findings are heavily contingent on the strategy followed: the persistence of Discretionary CTAs is driven by small funds whereas large funds drive the performance persistence of Systematic funds. These results have important implications for institutional investors who face capital allocation constraints. They also suggest that contrary to the previous findings, the CTA industry does not appear to be heading towards zero alpha. The final section looks at the relationship between fund-flows and performance. Investors chase past performance, the fund- flow -performance is significant and concave for some strategies. Although there is some long-term performance persistence of Systematic funds with the highest inflows, there is no smart money effect in the CTA literature. I find no evidence of capacity constraints among Systematic CTAs. Investors are thus not able to smartly allocate funds to future best performers and take full advantage of the liquidity that CTAs offer.
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Madigele, Loago Thabang wa ga Mmamogapi Banking &amp Finance Australian School of Business UNSW. "Relative performance of alternative investment vehicles: hedge funds, funds of funds, and CTA funds." Awarded by:University of New South Wales. School of Banking and Finance, 2005. http://handle.unsw.edu.au/1959.4/32313.

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This thesis examines the degree to which alternative funds deviate from their style-benchmark and how this is related to past performance and fund size, and how it impacts future risk and returns. Additionally the thesis examines how security selection and market timing skills differ across varying degrees of deviation from the benchmark. The thesis uses data for hedge funds, funds of funds, and CTA funds from the Center for International Securities and Derivatives Markets and employs fund???s tracking error relative to their style-benchmark to estimate the level of drift. The style-benchmarks used are the median return for all reporting funds that follow a particular style and funds are assigned a benchmark based on their self-reported style. First, this thesis documents statistically significant differences in the tracking errors of portfolios of funds with the highest tracking error versus funds with the lowest tracking error, implying that some managers drift from their self-reported style-benchmarks. Second, funds??? benchmark-inconsistency is less severe in the case of funds that have a regulatory obligation to disclose their performance, suggesting that the absence of regulation fosters an environment where managers can be more flexible with their investment approach. Third, the tendency to drift from the benchmark is most prevalent amongst funds with superior past performance as well as small funds. Fourth, future total portfolio risk increases as funds display more benchmarkinconsistency, suggesting that managers adopt riskier strategies as they attempt to enhance returns. Fifth, the thesis demonstrates that CTA funds that display drift from their benchmark produce higher absolute and relative returns in subsequent periods regardless of the direction of the general market. In contrast, the findings show for hedge funds and funds of funds, benchmark-inconsistent funds are likely to outperform in bull markets and underperform in bear markets. Finally, this thesis shows that more benchmark-consistent managers have better security selection skill. The main contribution of this thesis is in identifying the group of hedge funds, funds of funds, and CTA funds that are likely to deviate from their self-reported style-benchmark and the risk-return consequences of such deviations. The findings have implications for investors and regulators.
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6

Herich, Martin. "Využití automatických obchodních systémů na komoditních trzích." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224995.

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Focus of master's thesis is usability of automated trading of commodities with automated trading systems – expert advisors. Thesis describe theoretical background of commodity markets, trading principles, technical analysis of market, design and implementation of strategy as expert advisor. In conclusion, results are analyzed.
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Lundström, Christian. "On the returns of trend-following trading strategies." Licentiate thesis, Umeå universitet, Nationalekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-132914.

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Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. We present an ORB strategy based on normally distributed returns to identify such days and find that our ORB trading strategy result in significantly higher returns than zero as well as an increased success rate in relation to a fair game. The characteristics of such an approach over conventional statistical tests is that it involves the joint distribution of low, high, open and close over a given time horizon. Paper [II] measures the returns of a popular day trading strategy, the Opening Range Breakout strategy (ORB), across volatility states. We calculate the average daily returns of the ORB strategy for each volatility state of the underlying asset when applied on long time series of crude oil and S&P 500 futures contracts. We find an average difference in returns between the highest and the lowest volatility state of around 200 basis points per day for crude oil, and of around 150 basis points per day for the S&P 500. This finding suggests that the success in day trading can depend to a large extent on the volatility of the underlying asset. Paper [III] performs empirical analysis on short-term and long-term Commodity Trading Advisor (CTA) strategies regarding their exposures to unanticipated risk shocks. Previous research documents that CTA strategies offer diversification opportunities during equity market crisis situations when evaluated as a group, but do not separate between short-term and long-term CTA strategies. When separating between short-term and long-term CTA strategies, this paper finds that only short-term CTA strategies provide a significant, and consistent, exposure to unanticipated risk shocks while long-term CTA strategies do not. For the purpose of diversifying a portfolio during equity market crisis situations, this result suggests that an investor should allocate to short-term CTA strategies rather than to long-term CTA strategies.
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Chen, Chung-Chin, and 陳重信. "Using Risk Indices to Evaluate Investors Entrusted Asset by Commodity Trading Advisors." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/83294078187026113010.

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碩士
國立中正大學
企業管理所
97
In this study, we use 24 risk measures that were analyzed in Gupta and Daglioglu (2003) to calculate the managed future funds’ risk and performance. The 24 risk measures are as follows: Average Monthly Gain, Average Monthly Loss, Standard Deviation, Gain Standard Deviation, Loss Standard Deviation, Semi Deviation, Skewness, Kurtosis, Co-Skewness, Sharpe Ratio, Calmar Ratio, Maximum Drawdown, Gain/Loss Ratio, Beta, Annualized Alpha, Treynor Ratio, Jensen Alpha, Information Ratio, Up Capture, Down Capture, Up Number Ratio, Down Number Ratio, Up Percentage Ratio and Down Percentage Ratio. In our study, we choose ten funds that has at least five indices had good performance. Although not all the ten fund have positive profit on the 2009, those funds’ performance is still stable and not volatile. The result is supporting our assumption that the indices could help people assess funds. In our research some indices have highly correlation with each other. Dose it mean that some indices is much similar to another? Further study could try to classify those indices to different groups.
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Hong, Jia-Yang, and 洪嘉陽. "Recentering the K-max Stepwise Reality Check to Improve on its Test Power: An Empirical Study of Commodity Trading Advisors Funds." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/37n5r7.

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碩士
國立中興大學
統計學研究所
99
In this article, we will examine the performance of monthly returns of the Commodity Trading Advisors Funds. The data is from the database of the Hedge Fund Research and the sample period is from Jul 1994 to Jun 2010. We apply k-familywise error rate (Romano et al., 2008) on stepwise reality check (Romano and Wolf, 2005) and stepwise superior predict ability test (Hsu et al., 2010) to examine the performances. In the procedure, three different factors models are used as benchmark models. Lastly, compare the test power and the performance between stepwise reality check and stepwise superior predict ability test by k-familywise error rate.
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Tsai, Sheng-Yu, and 蔡勝宇. "Change risk of commodity trading advisor." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/49527214076373659277.

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碩士
朝陽科技大學
財務金融系碩士班
101
This study aimed to explore risk change of the commodity trading advisor (or managed futures funds, CTA). In this study, monthly CTA is obtained from Barclays hedge fund database, with a total of 1,241 samples and 27,672 observations. In this study we use both total risk and tracking error risk of CTA as risk measures with rolling window of 3, 6, and 9 months to examine whether changes in total risks (tracking error risks) result from being either intentional or mean reverting. The sample period is from January 2000 to May 2012. Our findings show that changes in both total risks and tracking error risks result from mean reversion. In addition, this study investigates the effects of the performance on changes in total risks and tracking error risk respectively. Our findings show that shot-term past performance are positively related to changes in total risks and tracking error risks while medium and long-term past performance negatively relates to changes in total risks and tracking error risks.In other words, it suggests of intention for short-term period but mean reverting for medium and long-term periods. Finally, we further discuss changes in total risks (tracking error risk) individually, and find mean reverting in most of them but intentional in several of them.
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Books on the topic "Commodity trading advisors"

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Bernstein, Jacob. Jake Bernstein's seasonal trader's bible: The best of the best in seasonal trades. 2nd ed. Van Nuys, Calif: MBH Commodity Advisors, Inc., 1997.

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The complete turtletrader: The legend, the lessons, the results. New York: HarperCollins, 2007.

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The complete turtletrader: How 23 novice investors became overnight millionaires. New York, N.Y: Collins Business, 2008.

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Covel, Michael W. The Complete TurtleTrader. New York: HarperCollins, 2007.

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Lynn, Cari. Leg the spread: A woman's adventures inside the trillion-dollar boys' club of commodities trading. New York: Broadway Books, 2004.

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International, Inc Icon Group. The 2000-2005 world outlook for security and commodity brokers, dealers. San Diego, Calif: Icon Group, 2002.

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McCafferty, Thomas. Winning with managed futures: How to select a top performing commodity trading advisor. Chicago: Probus, 1994.

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McCafferty, Thomas A. Winning with managed futures: How to select a top performing commodity trading advisor. Cambridge: Probus Publishing, 1994.

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American Institute of Certified Public Accountants. Securities Industry Year 2000 Agreed-Upon Procedures Task Force. Engagements to perform year 2000 agreed-upon procedures attestation engagements pursuant to rule 17a-5 of the Securities Exchange Act of 1934, rule 17Ad-18 of the Securities Exchange Act of 1934, and advisories no. 17-98 and no. 40-98 of the Commodity Futures Trading Commission. New York, NY: American Institute of Certified Public Accountants, 1998.

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American Institute of Certified Public Accountants. Securities Industry Year 2000 Agreed-Upon Procedures Task Force. Engagements to perform year 2000 agreed-upon procedures attestation engagements pursuant to rule 17a-5 of the Securities Exchange Act of 1934, rule 17Ad-18 of the Securities Exchange Act of 1934, and advisories no. 17-98 and no. 40-98 of the Commodity Futures Trading Commission. New York, NY: American Institute of Certified Public Accountants, 1998.

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Book chapters on the topic "Commodity trading advisors"

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Eling, Martin. "Commodity Trading Advisors: A Review of Historical Performance." In The Handbook of Commodity Investing, 626–47. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118267004.ch27.

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Gregoriou, Greg N., and Fabrice Douglas Rouah. "A Risk of Ruin Approach for Evaluating Commodity Trading Advisors." In Operational Risk toward Basel III, 453–64. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118267066.ch22.

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"Commodity Trading Advisors." In Agricultural Futures and Options, 45–49. Elsevier, 1992. http://dx.doi.org/10.1016/b978-1-85573-075-5.50011-1.

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EDMONDS, DEREK. "Commodity trading advisors and their role in managed futures." In Advanced Trading Rules, 367–87. Elsevier, 2002. http://dx.doi.org/10.1016/b978-075065516-3.50015-7.

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"Managed Futures and Commodity Trading Advisors (CTAs)." In Handbook of Hedge Funds, 351–72. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119202028.ch16.

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"Appendix C: Selecting a Commodity Trading Advisor." In High-Performance Managed Futures, 244–52. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118267684.app3.

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Conference papers on the topic "Commodity trading advisors"

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Lim, Yee Pin, and Shih-Fen Cheng. "Knowledge-Driven Autonomous Commodity Trading Advisor." In 2012 IEEE/WIC/ACM International Joint Conferences on Web Intelligence (WI) and Intelligent Agent Technologies (IAT). IEEE, 2012. http://dx.doi.org/10.1109/wi-iat.2012.208.

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Reports on the topic "Commodity trading advisors"

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Bhardwaj, Geetesh, Gary Gorton, and K. Geert Rouwenhorst. Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors. Cambridge, MA: National Bureau of Economic Research, October 2008. http://dx.doi.org/10.3386/w14424.

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