Faithin Omaha eBook Collection

Download or read book Principal Components Analysis of Commodity Trading Advisors written by Romano Rodolfo Brandenberg and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity markets have gained a lot of momentum in the past decade. Some commodity fund managers or commodity trading advisors (CTA) have seen this trend emerge in the early 1980ies. They have developed so-called systematic trend following strategies to rake in huge profits for their investors. Today, about 180 billion USD are managed by CTAs. Even though this sounds like a lot of money, CTAs only account for 4.4% of the multi trillion USD hedge fund industry. However for diversification reasons, CTAs have seen rapidly increasing demand in the past fifteen years. As of the third quarter of 2007 the assets under management in CTAs have increased by a factor of three since 2000 and a factor of nine since 1990. For investors though, who would like to invest in CTAs, it is challenging to find out what commodities a CTA really trades because of the limited transparency of such funds. The thesis at hand aims to contribute to this issue by analysing a sample of thirty-eight CTAs with the help of the principal components analysis and the style analysis.