Similar Search Results

How Contango and Backwardation Affects the Performance of Commodity Hedge Funds? Evaluation Based on Commodity Trading Advisors’, CTA

Guirguis, Michel - 2019

In this article, we examine how contango and backwardation affects the performance of commodity hedge funds. Evaluation based on commodity trading advisors', CTA. CTA, commodity trading advisers, or managed futures managers' trade in the commodity market. The hedge funds invest in commodity...

Persistent link: https://www.econbiz.de/10012890422

Testing the Effects of the Volatility of a Gaussian Distribution Monthly Returns of Commodity Futures Contracts of a Hedge Fund Portfolio

Guirguis, Michel - 2021

contracts of a hedge fund portfolio. We test a linear Gaussian state space model and the Kalman filter ARMA(2,4) model of the …

Persistent link: https://www.econbiz.de/10013232486

Congestion in commodity trading advisors

Gregoriou, Greg N.; Pascalau, Razvan; Chen, Yao - In: INFOR : information systems and operational research 49 (2011) 1, pp. 63-74

Persistent link: https://www.econbiz.de/10009385020

Commodity trading advisor indexes and alpha generation relationships

Mackey, Scott - In: The journal of applied business research 30 (2014) 6, pp. 1831-1845

Persistent link: https://www.econbiz.de/10010471156

Cross-market investor sentiment in commodity exchange-traded funds

Chen, Hsiu-lang - In: Credit and capital markets : Kredit und Kapital 48 (2015) 2, pp. 171-206

Persistent link: https://www.econbiz.de/10011414231

The relationship between commodity markets and commodity mutual funds : a wavelet-based analysis

Antonakakis, Nikolaos; Chang, Tsangyao; Cuñado … - In: Finance research letters 24 (2018), pp. 1-9

Persistent link: https://www.econbiz.de/10011982439

SEC proposes "pay-for-performance" disclosure rule

Engvall, David H.; Hooper, Reid S.; Gumbs, Keir D.; … - In: The journal of investment compliance 16 (2015) 3, pp. 24-27

Persistent link: https://www.econbiz.de/10011446001

Risk and return in commodity futures

Bodie, Zvi - In: Selected writings on futures markets : research …, (pp. 159-176). 1984

Persistent link: https://www.econbiz.de/10001305688

Futures trading and investor returns : an investigation of commodity market risk premiums

Dusak, Katherine - In: Selected writings on futures markets : research …, (pp. 141-157). 1984

Persistent link: https://www.econbiz.de/10001305689

Futures trading and investor returns : an investigation of commodity market risk premiums

Dusak, Katherine - In: Interest rate futures : concepts and issues, (pp. 21-40). 1982

Persistent link: https://www.econbiz.de/10001258072