Commodity Trading Advisors

Preface.
Acknowledgments.
About the Editors.
About the Authors.
Introduction.
PART ONE: Performance.
CHAPTER 1: Managed Futures and Hedge Funds: A Match Made in Heaven (Harry M. Kat).
CHAPTER 2: Benchmarking the Performance of CTAs (Lionel Martellini and Mathieu Vaissié).
CHAPTER 3: Performance of Managed Futures: Persistence and the Source of Returns (B. Wade Brorsen and John P. Townsend).
CHAPTER 4: CTA Performance, Survivorship Bias, and Dissolution Frequencies (Daniel Capocci).
CHAPTER 5: CTA Performance Evaluation with Data Envelopment Analysis (Gwenevere Darling, Kankana Mukherjee, and Kathryn Wilkens).
CHAPTER 6: The Performance of CTAs in Changing Market Conditions (Georges Hübner and Nicolas Papageorgiou).
CHAPTER 7: Simple and Cross-Efficiency of CTAs Using Data Envelopmennt Analysis (Fernando Diz, Greg N. Gregoriou, Fabrice Rouah, and Stephen E. Satchell).
PART TWO: Risk and Managed Futures Investing.
CHAPTER 8: The Effect of Large Hedge Fund and CTA Trading on FuturesMarket Volatility (Scott H. Irwin and Bryce R. Holt).
CHAPTER 9: Measuring the Long Volatility Strategies of Managed Futures (Mark Anson and Ho Ho).
CHAPTER 10: The Interdependence of Managed Futures Risk Measures (Bhaswar Gupta and Manolis Chatiras).
CHAPTER 11: Managing Downside Risk in Return Distributions Using Hedge Funds, Managed Futures, and Commodity Indices (Mark Anson).
PART THREE: Managed Futures Investing, Fees, and Regulation.
CHAPTER 12 Managed Futures Investing (James Hedges IV).
CHAPTER 13: The Effect of Management and Incentive Fees on the Performance of CTAs: A Note (Fernando Diz).
CHAPTER 14: Managed Futures Funds and Other Fiduciary Products: The Australian Regulatory Model (Paul U. Ali).
PART FOUR: Program Evaluation, Selection, and Returns.
CHAPTER 15: How to Design a Commodity Futures Trading Program (Hilary Till and Joseph Eagleeye).
CHAPTER 16: Choosing the Right CTA: A Contingent Claim Approach (Zsolt Berenyi).
CHAPTER 17: CTAs and Portfolio

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 peer-reviewed publication based in London, and was awarded the prestigious scholarship from the Institut de Finance Math¿tique de Montr¿ for three years. He has authored over twenty professional articles in brokerage and pension fund magazines in Qu¿c and Canada. 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.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. Vassilios holds a PhD in Operations Research from the University of Massachusetts at Amherst, an MS, and a Diploma in Industrial Engineering from the Technical University of Crete-Chania, Greece. He is also a research associate of the Center for International Securities and Derivatives Markets (CISDM).FRAN¿IS-SERGE LHABITANT is a Member of Senior Management at Union Bancaire Priv¿in Geneva, where he heads the quantitative research and risk analysis of the Alternative Asset Management Group. He was previously a director at UBS Global Asset Management in charge of quantitative modeling. He is a FAME Research Fellow, a Research Associate at EDHEC (France), and Professor of Finance at HEC University of Lausanne (Switzerland). He is author of two books on hedge fund investing and emerging markets.FABRICE ROUAH is an Institut de Finance Math¿tique de Montr¿ (IFM2) Scholar, and a PhD candidate in finance at McGill University in Montreal. He is a former faculty lecturer and consulting statistician in the Department of