ENGLISH

Managed Futures for Institutional Investors: Analysis and Portfolio Construction

By Galen Burghardt , Brian Walls(auth.)

Book information

Year
2011
ISBN
9781576603741, 9781118531600
DOI
10.1002/9781118531600
Language
english
Format
PDF
Filesize
5 MB (5076359 bytes)
Pages
350\350
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00

Description

A practical guide to institutional investing successManaged Futures for Institutional Investors is an essential guide that walks you through the important questions that need to be addressed before investing in this asset class and contains helpful direction for investors during the investing process. Backed by years of institutional experience, the authors reveal the opportunities offered by managed futures. They also include information on practices in the managed futures area and present the various analytical tools and building blocks required to use managed futures effectively. The book also contains insight on the issues that must be addressed when building and evaluating portfolios. Shows where to find data to evaluate managed futures and explains how managed futures are regulated Offers guidance on how to apply classic portfolio construction tools to managed futures Reveals how managed futures investments can help investors evaluate and meet risk, return, and liquidity objectivesManaged Futures for Institutional Investors provides all the practical information to manage this type of investment well.Content: Chapter 1 Understanding Returns (pages 15–39): Chapter 2 Where are the Data? (pages 41–51): Chapter 3 Structuring Your Investment: Frequently Asked Questions (pages 53–72): Chapter 4 How Trend Following Works (pages 73–98): Chapter 5 Two Benchmarks for Momentum Trading (pages 99–127): Chapter 6 The Value of Daily Return Data (pages 129–150): Chapter 7 Every Drought Ends in a Rainstorm: Mean Reversion, Momentum, or Serial Independence? (pages 151–180): Chapter 8 Understanding Drawdowns (pages 181–199): Chapter 9 How Stock Price Volatility Affects Returns (pages 201–215): Chapter 10 The Costs of Active Management (pages 217–225): Chapter 11 Measuring Market Impact and Liquidity (pages 227–250): Chapter 12 Superstars versus Teamwork (pages 251–277): Chapter 13 A New Look at Constructing Teamwork Portfolios (pages 279–296): Chapter 14 Correlations and Holding Periods: The Research Basis for the Newedge AlternativeEdge Short?Term Traders Index (pages 297–318): Chapter 15 “There are Known Unknowns”: The Drag of Imperfect Estimates (pages 319–339):

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