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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 15

Chapter 15 discusses the issues involved in setting up a commodity futures trading program from start to finish. The chapter covers these areas that a new entrant into the futures markets must consider: trade discovery, trade construction, portfolio construction, risk management, leverage-level determination, | Four Program Evaluation Selection and Returns Chapter 15 discusses the issues involved in setting up a commodity futures trading program from start to finish. The chapter covers these areas that a new entrant into the futures markets must consider trade discovery trade construction portfolio construction risk management leverage-level determination and how the trading program will make a unique contribution to an investor s overall portfolio. Chapter 16 analyzes the ex-post performance of CTA managed funds with a higher moment-based contingent-claim replication method. The performance of each managed futures fund is compared to individually created benchmark assets having the same risk profile in terms of particular higher moments. Benchmark assets are constructed using the S P 500 options and the risk-free asset. Using these benchmark assets the author estimates the efficiency gain or loss each CTA produces and analyzes the robustness of this kind of efficiency measurement with respect to the number of moments used. Chapter 17 aims at providing an overview of the industry and to quantify its added value when included in portfolios mean variance optimization . Different statistics and asset allocations studies are displayed within a fixed or dynamic framework. A dynamic framework takes into account time evolutions. On the asset allocation side it then implies working in a three-dimensional environment mean variance time framework and dealing with efficient surfaces rather than efficient frontiers. Chapter 18 examines whether CTA percent changes in NAVs follow random walks. Monthly data from January 1994 to December 2000 are tested 275 276 PROGRAM EVALUATION SELECTION AND RETURNS for nonstationarity and random walk with drift using the Augmented DickeyFuller test. All classifications except the diversified subindex are found to behave as random walks but many of the series show evidence of a positive drift parameter an indication that trends could be present in the