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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2 gives a comparative overview of the Edhec CTA Index, the S&P 500, and the Lehman Global Bond Index. 39, respectively). com. 2 Basic Statistical Properties of the Edhec CTA Global Index, January 1997 to September 2003 Edhec CTA Global Index Monthly Average Return Monthly Median Return Monthly Max. Return Monthly Min. 35 percent. **This indicator is also referred to as the lower partial moment of order 2. 85 percent for the S&P 500). 62 percent in 43 percent of the cases. It is also worth noting that the Edhec index presents a smaller maximum uninterrupted loss than both the stock and bond indices.

More surprisingly perhaps, index heterogeneity also may be of concern in the case of CTAs. Dealing with CTA index heterogeneity is discussed in the next sections. It is crucial for investors to pay particular attention to the selection of an appropriate index to benchmark their performance and to assess their exposure to risk factors. To respond to investors’ expectations, in this chapter we present an original methodology to construct a pure and representative CTA index (also known as the Edhec CTA Global Index; hereafter referred to as the Edhec CTA Index).

3 Edhec CTA Index Factor Exposure Evolution, September 1999 to September 2003 Source: Edhec Risk. major currencies. Investors must obviously be aware of such time-varying effects when considering investment in CTAs. Three conclusions may be drawn from this analysis. 1. The five risk factors selected can explain a significant part of the Edhec CTA Index variance. 2. The exposure of the Edhec CTA Index to these risk factors appears to be nonlinear. 3. Risk factor exposures evolve through time, suggesting that multifactor models such as the one we use may not be suited for performance measurement purposes.

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