TAILIEUCHUNG - Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 2

CHAPTER 2 Benchmarking the Performance of CTAs. The bursting of the Internet bubble in March 2000 plunged traditional market indices (stocks, bonds, etc.) into deep turmoil, leaving most institutional investors with the impression that portfolio diversification tends to fail at the exact moment that investors have a need for it | 2 Benchmarking the Performance of CTAs Lionel Martellini and Mathieu Vaissie The bursting of the Internet bubble in March 2000 plunged traditional market indices stocks bonds etc. into deep turmoil leaving most institutional investors with the impression that portfolio diversification tends to fail at the exact moment that investors have a need for it namely in periods when the markets drop At the same time most alternative investments . hedge funds CTAs real estate etc. posted attractive returns. They benefited from large capital inflows from high-net-worth individuals HNWI and institutional investors who were both looking for investment vehicles that would improve the diversification of their portfolios. At the same time many recent academic and practitioner studies have documented the benefits of investing in alternative investments in general and hedge funds in particular see Amenc Martellini and Vaissie 2003 Amin and Kat 2002 2003b Anjilvel Boudreau Urias and Peskin 2000 Brooks and Kat 2002 Cerrahoglu and Pancholi 2003 Daglioglu and Gupta 2003a Schneeweis Karavas and Georgiev 2003 . Nevertheless due to the natural survivorship selection and spurious backfilling weighting scheme biases that are present in hedge fund databases see Fung and Hsieh 2000 2002a it remains challenging to come up with an accurate estimate of returns on hedge funds. The challenging nature of hedge fund return measurement has been exemplified by the heterogeneity in hedge fund index returns which is now a well-documented problem cf. Amenc and Martellini 2003 Vaissie 2004 . As evidenced by Amenc and Martellini 2003 the correlation between indices representing 1Longin and Solnik 1995 provide evidence that the correlation between the stock markets in different countries converges toward 1 when there is a sharp drop in . stock markets. 18 Benchmarking the Performance of CTAs 19 the same investment style may turn out to be as low as for equity market neutral or

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