Understanding risk is important. Prior to 2008, as the yields on safe assets hit rock bottom, investors began to focus on an alphabet soup of more complex instruments. These complex securities were rated AAA and appeared as safe as U.S. Treasuries, but with much higher yields. The 2008 financial crisis revealed, however, that higher yields on these instruments came with higher risk, albeit too late for these investors. This study seeks to understand the risk–return tradeoff, managerial skill, and factor exposures on the risk-return tradeoff in two financial instruments that have been limitedly investigated: commodity trading advisors (CTAs) and managed futures funds (MFFs). This study begins by documenting the differences between CTAs/MFFs and hedge funds and mutual funds, starting with the legal and operational differences. Next, it conducts a performance analysis, which indicates that CTAs and MFFs, as standalone investment vehicles, provide returns that are higher than the average market returns in bear markets, while carrying lower risk. The strong standing of CTAs and MFFs in bear markets earn them their reputation as “downside risk protectors.” CTAs and MFFs are profitable individual assets but adding these funds to classical asset portfolios enhances portfolio performance significantly. This feature makes them strong hedging assets. As expected, their performance is below that of standard assets in up markets. Chapter 4 finds that the superior performance of CTAs and MFFs can be explained by managerial skill. Positive and significant Jensen alphas are evidence of good performance; moreover, the persistence of the Jensen alphas is supported by both parametric and non-parametric tests. Incentive fees and fund age are found to be positively related to managerial skill, while (somewhat surprisingly) management fees are found to be negatively related to it. Chapter 5 finds that many financial and macroeconomic factors are statistically unrelated to CTA and MFF performance. However, the value premium (HML) factor and industrial production growth (IPG) are correlated with their performance. HML has a relation effect on one-month-ahead fund returns, whereas IPG has a negative association with them. Nonparametric tests support these results marginally. Overall, these findings suggest that both CTAs and MFFs use well-known and well-established predictors of expected returns to generate their alphas.

"Understanding risk is important. Prior to 2008, as the yields on safe assets hit rock bottom, investors began to focus on an alphabet soup of more complex instruments. These complex securities were rated AAA and appeared as safe as U.S. Treasuries, but with much higher yields. The 2008 financial crisis revealed, however, that higher yields on these instruments came with higher risk, albeit too late for these investors. This study seeks to understand the risk-return tradeoff, managerial skill, and factor exposures on the risk-return tradeoff in two financial instruments that have been limitedly investigated: commodity trading advisors (CTAs) and managed futures funds (MFFs). This study begins by documenting the differences between CTAs/MFFs and hedge funds and mutual funds, starting with the legal and operational differences. Next, it conducts a performance analysis, which indicates that CTAs and MFFs, as standalone investment vehicles, provide returns that are higher than the average market returns in bear markets, while carrying lower risk. The strong standing of CTAs and MFFs in bear markets earn them their reputation as "downside risk protectors." CTAs and MFFs are profitable individual assets but adding these funds to classical asset portfolios enhances portfolio performance significantly. This feature makes them strong hedging assets. As expected, their performance is below that of standard assets in up markets. Chapter 4 finds that the superior performance of CTAs and MFFs can be explained by managerial skill. Positive and significant Jensen alphas are evidence of good performance; moreover, the persistence of the Jensen alphas is supported by both parametric and non-parametric tests. Incentive fees and fund age are found to be positively related to managerial skill, while (somewhat surprisingly) management fees are found to be negatively related to it. Chapter 5 finds that many financial and macroeconomic factors are statistically unrelated to CTA and MFF performance. However, the value premium (HML) factor and industrial production growth (IPG) are correlated with their performance. HML has a relation effect on one-month-ahead fund returns, whereas IPG has a negative association with them. Nonparametric tests support these results marginally. Overall, these findings suggest that both CTAs and MFFs use well-known and well-established predictors of expected returns to generate their alphas"--

Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals. That's why Investment Performance Measurement: Evaluating and Presenting Results the second essential title in the CFA Institute Investment Perspectives series has been created. CFA Institute has a long tradition of publishing content from industry thought leaders, and now this new collection offers unparalleled guidance to those working in the rapidly evolving field of investment management. Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings Quarterly, CFA Magazine, and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders from industry professionals to respected academics who have focused on investment performance evaluation for a majority of their careers. Divided into five comprehensive parts, this timely volume opens with an extensive overview of performance measurement, attribution, and appraisal. Here, you'll become familiar with everything from the algebra of time-weighted and money-weighted rates of return to the objectives and techniques of performance appraisal. After this informative introduction, Investment Performance Measurement moves on to: Provide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement Describe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution Address everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal Recount the history and explain the provisions of the GIPS standards with attention paid to the many practical issues that arise in the course of its implementation in Part V: Global Investment Performance Standards Filled with invaluable insights from more than fifty experienced contributors, this practical guide will enhance your understanding of investment performance measurement and put you in a better position to present and evaluate results in the most effective way possible.

Authoritative, up-to-date research and analysis that provides a dramatic new understanding of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth individuals. Commodity Trading Advisors is one of the first books to study their performance in detail and analyze the "survivorship bias" present in CTA performance data. This book investigates the many benefits and risks associated with CTAs, examining the risk/return characteristics of a number of different strategies deployed by CTAs from a sophisticated investor's perspective. A contributed work, its editors and contributing authors are among today's leading voices on the topic of commodity trading advisors and a veritable "Who's Who" in hedge fund and CTA research. Greg N. Gregoriou (Plattsburgh, NY) is a Visiting Assistant Professor of Finance and Research Coordinator in the School of Business and Economics at the State University of New York. Vassilios N. Karavas (Amherst, MA) is Director of Research at Schneeweis Partners. Francois-Serge Lhabitant (Coppet, Switzerland) is a FAME Research Fellow, and a Professor of Finance at EDHEC (France) and at HEC University of Lausanne (Switzerland). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathématique de Montréal Scholar in the finance program at McGill University.

An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.

Commodities: Markets, Performance, and Strategies provides a comprehensive view of commodity markets by describing and analyzing historical commodity performance, vehicles for investing in commodities, portfolio strategies, and current topics. It begins with the basics of commodity markets and various investment vehicles. The book then highlights the unique risk and return profiles of commodity investments, along with the dangers from mismanaged risk practices. The book also provides important insights into recent developments, including high frequency trading, financialization, and the emergence of virtual currencies as commodities. Readers of Commodities: Markets, Performance, and Strategies can gain an in-depth understanding about the multiple dimensions of commodity investing from experts from around the world. Commodity markets can be accessed with products that create unique risk and return dynamics for investors worldwide. The authors provide insights in a range of areas, from the economics of supply and demand for individual physical commodities through the financial products used to gain exposure to commodities. The book balances useful practical advice on commodity exposure while exposing the reader to various pitfalls inherent in these markets. Readers interested in a basic understanding will benefit as will those looking for more in-depth presentations of specific areas within commodity markets. Overall, Commodities: Markets, Performance, and Strategies provides a fresh look at the myriad dimensions of investing in these globally important markets.

Filled with a collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. The handbook covers a range of issues, including the risk and return of commodities and diversification benefits.

Whether already experienced with hedge funds or just thinking about investing in them, readers need a firm understanding of this unique investment vehicle in order to achieve maximum success. Hedge Funds unites over thirty of the top practitioners and academics in the hedge fund industry to provide readers with the latest findings in this field. Their analysis deals with a variety of topics, from new methods of performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, an understanding and applicability of the results as well as theoretical developments are stressed. Filled with in-depth insight and expert advice, Hedge Funds helps readers make the most of this flexible investment vehicle.

Apply CFA Program concepts and skills to real-world wealth and portfolio management for the 2017 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2017 Level III, Volumes 1-6 provides complete, authoritative guidance on synthesizing the entire CFA Program Candidate Body of Knowledge (CBOK) into professional practice for the 2017 exam. This book helps you bring together the skills and concepts from Levels I and II to formulate a detailed, professional response to a variety of real-world scenarios. Coverage spans all CFA Program topics and provides a rigorous treatment of portfolio management, all organized into individual study sessions with clearly defined Learning Outcome Statements. Visual aids clarify complex concepts, and practice questions allow you to test your understanding while reinforcing major content areas. Levels I and II equipped you with foundational investment tools and complex analysis skill; now, you'll learn how to effectively synthesize that knowledge to facilitate effective portfolio management and wealth planning. This study set helps you convert your understanding into a professional body of knowledge that will benefit your clients' financial futures. Master essential portfolio management and compliance topics Synthesize your understanding into professional guidance Reinforce your grasp of complex analysis and valuation Apply ethical and professional standards in the context of real-world cases CFA Institute promotes the highest standards of ethics, education, and professional excellence among investment professionals. The CFA Program Curriculum guides you through the breadth of knowledge required to uphold these standards. The three levels of the program build on each other. Level I provides foundational knowledge and teaches the use of investment tools; Level II focuses on application of concepts and analysis, particularly in the valuation of assets; and Level III builds toward synthesis across topics with an emphasis on portfolio management.