tailieunhanh - Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 16

CHAPTER 16 Choosing the Right CTA: A Contingent Claim Approach. Managed futures have enjoyed a significant increase as investments during the last one and a half decades, both on a stand-alone basis and as part of a well-diversified portfolio. Managed futures accounts, indeed, seem to offer investors significant advantages not accessible elsewhere. | 16 Choosing the Right CTA A Contingent Claim Approach Zsolt Berenyi Managed futures have enjoyed a significant increase as investments during the last one and a half decades both on a stand-alone basis and as part of a well-diversified portfolio. Managed futures accounts indeed seem to offer investors significant advantages not accessible elsewhere. Yet ranking such investment opportunities either on an ex-ante or an ex-post basis is still difficult because the risk and return structure of managed futures accounts often differs from that of more or less common benchmarks and the risk structure of such investments may be unstable since CTAs may change the risk exposure of the funds individually. In this chapter we investigate the ex-post performance ranking of CTAs based on a contingent claim performance approach. In this approach 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 replicated using the S P 500 options and the risk-free asset. Using benchmark assets we estimate the efficiency gain or loss each CTA produces and analyze the robustness of this kind of efficiency measurement with respect to the number of moments used. INTRODUCTION Commodity funds which are managed by commodity trading advisors CTAs belong to the modern alternative investment class. Managed commodity funds managed futures are publicly offered investment vehicles that invest in futures and options of a wide range of financial assets as well as commodities and may employ a variety of leverage-creating techniques. 294 Choosing the Right CTA 295 Managed futures accounts offer investors significant advantages not accessible elsewhere due to their unconventional investment strategies. These forms of investment offer in much the same way other modern alternative investment forms do both diversification advantages and return profiles different from .