Index

A

Abanomey, Walid S., 241

Abosedra, Salah, 364n

Abramson, Bruce, 373n

Absolute return-based excess returns metrics, 298, 303

Absolute return strategies, 269

Active CISDM CTA Index, passive CISDM CTA Index (contrast), 559e

Active commodity allocations

implied returns, 499e

portfolio characteristics, 500e

Active commodity investing

hedge funds, usage, 491496

management, 479480

managers evolution, 481482

performance overview, 491492

specialist CTAs, usage, 491496

Active investing, 557561. See also Hedge funds; Managed futures

Actively managed program, advantage, 561n

Active managers

hedge, role, 501502

profit, ability, 559

Adaptive moving averages (AMAs), 399

ADF. See Augmented Dickey Fuller

Agent-based model, usage. See Market price dynamics

Aggarwal, Raj, 724n

AGR. See Barclays Agricultural Traders Index

Agricultural commodities

CTA specialization, 493494

fundamentals, 863

futures options, exchanges (involvement), 574

study, 7374

Agricultural CTAs market factor exposure, 496e

Agricultural futures, seasonal hypothesis, 80

Agro-raw materials. See Animal agro-raw materials; Industrial agro-raw materials

Ai, Chunrong, 84n

Akaike criterion

Akaike information criteria, 370n, 101102

Akey, Rian P., 88n, 97n, 204n, 218n, 225n, 432n, 484n, 664n

commodity allocation argument, 483484

Alexander, Carol O., 339n, 584n, 586n, 587n, 592n, 593n

Alexander, Sidney S., 393n, 916n

Alexander's Filter Rule, 913, 916917

Ali, Paul U., 617n, 618n, 620n, 623n, 624n, 661n

Al-Loughani, Nabeel ...

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