Commodity Trading Advisors : A Review of Historical Performance
Series
Frank J. Fabozzi series
ISBN
978-0-470-11764-4
Type
book section
Date Issued
2008
Author(s)
Editor(s)
Fabozzi, Frank J.
Fuss, Roland
Kaiser, Dieter G.
Abstract
Commodity trading advisors (CTAs) trade a wide variety of OTC and exchange-traded forwards, futures, and options in different markets based on a wide variety of trading models. This paper analyzes risk and return of CTAs in the period from 1996 to 2005 with regard to different time periods and market environments. We find that CTA returns and performance numbers are relatively stable compared to traditional investments. Moreover, our analysis of correlations within different market environments shows that CTAs are good portfolio diversifiers.
Language
English
Keywords
Commodity Trading Advisors
Performance
Risk
Return
HSG Classification
contribution to scientific community
Refereed
Yes
Book title
The Handbook of Commodity Investments
Publisher
Wiley
Publisher place
Hoboken, N.J.
Start page
628
End page
646
Subject(s)
Division(s)
Eprints ID
35169