Acknowledgments.

About the Editors.

About the Authors.

Introduction.

PART ONE: Performance.

CHAPTER 1: Managed Futures and Hedge Funds: A Match Made in Heaven (Harry M. Kat).

CHAPTER 2: Benchmarking the Performance of CTAs (Lionel Martellini and Mathieu Vaissié).

CHAPTER 3: Performance of Managed Futures: Persistence and the Source of Returns (B. Wade Brorsen and John P. Townsend).

CHAPTER 4: CTA Performance, Survivorship Bias, and Dissolution Frequencies (Daniel Capocci).

CHAPTER 5: CTA Performance Evaluation with Data Envelopment Analysis (Gwenevere Darling, Kankana Mukherjee, and Kathryn Wilkens).

CHAPTER 6: The Performance of CTAs in Changing Market Conditions (Georges Hübner and Nicolas Papageorgiou).

CHAPTER 7: Simple and Cross-Efficiency of CTAs Using Data Envelopmennt Analysis (Fernando Diz, Greg N. Gregoriou, Fabrice Rouah, and Stephen E. Satchell).

PART TWO: Risk and Managed Futures Investing.

CHAPTER 8: The Effect of Large Hedge Fund and CTA Trading on Futures Market Volatility (Scott H. Irwin and Bryce R. Holt).

CHAPTER 9: Measuring the Long Volatility Strategies of Managed Futures (Mark Anson and Ho Ho).

CHAPTER 10: The Interdependence of Managed Futures Risk Measures (Bhaswar Gupta and Manolis Chatiras).

CHAPTER 11: Managing Downside Risk in Return Distributions Using Hedge Funds, Managed Futures, and Commodity Indices (Mark Anson).

PART THREE: Managed Futures Investing, Fees, and Regulation.

CHAPTER 12 Managed Futures Investing (James Hedges IV).

CHAPTER 13: The Effect of Management and Incentive Fees on the Performance of CTAs: A Note (Fernando Diz).

CHAPTER 14: Managed Futures Funds and Other Fiduciary Products: The Australian Regulatory Model (Paul U. Ali).

PART FOUR: Program Evaluation, Selection, and Returns.

CHAPTER 15: How to Design a Commodity Futures Trading Program (Hilary Till and Joseph Eagleeye).

CHAPTER 16: Choosing the Right CTA: A Contingent Claim Approach (Zsolt Berenyi).

CHAPTER 17: CTAs and Portfolio Diversification: A Study through Time (Nicolas Laporte).

CHAPTER 18: Random Walk Behavior of CTA Returns (Greg N. Gregoriou and Fabrice Rouah).

CHAPTER 19: CTA Strategies for Returns-Enhancing Diversification (David Kuo Chuen Lee, Francis Koh, and Kok Fai Phoon).

CHAPTER 20: Incorporating CTAs into the Asset Allocation Process: A Mean-Modified Value at Risk Framework (Maher Kooli).

CHAPTER 21: ARMA Modeling of CTA Returns (Vassilios N. Karavas and L. Joe Moffitt).

CHAPTER 22: Risk-Adjusted Returns of CTAs: Using the Modified Sharpe Ratio (Robert Christopherson and Greg N. Gregoriou).

CHAPTER 23: Time Diversification: The Case of Managed Futures (François-Serge Lhabitant and Andrew Green).

REFERENCES.

INDEX.