Winning with Managed Futures: How to Select a Top Performing Commodity Trading Advisor

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In the fast-paced and volatile futures and options markets, the law of economic Darwinism prevails: only the fittest traders survive. To succeed, you have to be either a superb trader or have the ability to select a superb trader with whom to invest your money. Anything less is simply too risky. More and more investors - from sophisticated pension funds to everyday investors looking for superior returns - are investing with commodity trading advisors. The reason is clear: top traders regularly earn high ...
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Overview

In the fast-paced and volatile futures and options markets, the law of economic Darwinism prevails: only the fittest traders survive. To succeed, you have to be either a superb trader or have the ability to select a superb trader with whom to invest your money. Anything less is simply too risky. More and more investors - from sophisticated pension funds to everyday investors looking for superior returns - are investing with commodity trading advisors. The reason is clear: top traders regularly earn high double-digit returns and, in isolated cases, triple-digit returns. In Winning with Managed Futures, Tom McCafferty demystifies the trader selection process by outlining cutting edge quantitative and subjective methods that can be used by any investor to evaluate a trader's skill and mental profile. No single statistical method tells the complete story about a trader. Rate of return, for example, tells an investor nothing about a trader's volatility. Likewise, data on a trader's worst drawdown says nothing about the trader's potential upside performance. Only by combining a variety of measures can an investor paint a composite sketch of a trader and visualize his or her potential for future success. McCafferty skillfully breaks down the selection process into component parts. He begins by reviewing the winning characteristics of top traders and highlighting natural disqualifiers that should eliminate weaker traders from an investor's short-list. He then explains how to apply a number of easy-to-use performance benchmarks and ratios in order to dissect a trader's performance volatility, ability to recover from account drawdowns and ability to outperform trading peers over different investment time horizons. An investor should use these methods, McCafferty emphasizes, in order to find a trader who matches his or her risk/reward profile. In so doing, an investor is less likely to encounter unpleasant surprises and more likely to select a trader who will enhance the
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Product Details

  • ISBN-13: 9781557385871
  • Publisher: McGraw-Hill Companies, The
  • Publication date: 9/1/1994
  • Pages: 250
  • Product dimensions: 6.33 (w) x 9.33 (h) x 0.80 (d)

Table of Contents

Acknowledgments
Introduction: An Important Disclaimer
Acronym Key
1 Recognizing and Using Macro-Disqualifiers 1
2 Selecting a Baseline Measurement for CTA Success 17
3 Beginning the CTA Evaluation Process 35
4 Understanding the Nature of the Risk of Loss in the Futures Markets 53
5 Quantifying the Risk and Reward of Managed Futures Programs 61
6 Analyzing the Risk and Reward of Managed Futures Programs 73
7 Using Statistics to Analyze CTAs 81
8 How Much Can You (or Should You) Rely on the Statistical Analysis? 91
9 The Value and Risk of Market Timing Strategies 101
10 Some Miscellaneous Concerns Regarding CTA Performance 111
11 Psychological Aspects of CTA Selection 119
12 Integrating Managed Futures into Mainstream Portfolios 127
13 Where Do You Look for the Next Paul Tudor Jones? 147
14 Paperwork and Other Regulatory Matters 159
15 Putting It All Together - Four Scenarios 169
App A: A Brief Chronology of the Managed Futures Industry 187
App B: Sources of Additional Information 191
App C: Glossary of Terms 199
App D: Top CTA Performers 231
Index 237
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