Commodity trading advisors by Greg N. Gregoriou, Vassilios Karavas, François-Serge

By Greg N. Gregoriou, Vassilios Karavas, François-Serge Lhabitant, Fabrice Douglas Rouah

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1 illustrates the consequences of the heterogeneity of index construction methodologies and fund selection in terms of risk factor expo- 2For example, CSFB/Tremont Managed Futures Index, the CISDM Trading Advisor Qualified Universe Index, the HF Net CTA/Managed Futures Average, the Barclay CTA Index, and the S&P Managed Futures Index. 3 LEHMAN GLB. 4 sures. To come up with a limited set of risk factors, we selected 16 factors known to be related to the strategies implemented by managed futures, namely stocks, bonds, interest rates, currency, and commodities factors.

If the managed futures allocation increases, the standard deviation drops faster than with hedge funds. More remarkably, skewness rises instead of drops while kurtosis drops instead of rises. Although (under the assumptions made) hedge funds offer a somewhat higher expected return, from an overall risk perspective managed futures appear to be better diversifiers than hedge funds. 42 11 Managed Futures and Hedge Funds HEDGE FUNDS PLUS MANAGED FUTURES The next step is to study how hedge funds and managed futures combine with each other.

Major currency and USD vs. Japanese yen) and one commodity factor (Goldman Sachs Commodity Index [GSCI]). The most important factor turns out to be the GSCI, which stresses the still-prevalent exposure of CTAs to the commodity market. S. Treasury Index. The other statistically significant factors are ones related to the foreign exchange market, with coefficients indicating that CTAs held long net positions on the USD over the analysis period (especially against the Japanese yen). Not surprisingly, the index return is negatively correlated with the S&P 500 return, which is consistent with the fact that CTAs post their best performance in large market declines.

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