Managed futures for institutional investors : analysis and portfolio construction
Galen Burghardt, Brian Walls
| Year of publication: |
c2011
|
|---|---|
| Authors: | Burghardt, Galen |
| Other Persons: | Walls, Brian (contributor) |
| Publisher: |
Hoboken, N.J : Bloomberg Press |
| Subject: | Institutioneller Investor | Institutional investor | Portfolio-Management | Portfolio selection | Investmentfonds | Investment Fund | Derivat | Derivative | Futures |
| Description of contents: | Table of Contents [external.dandelon.com] |
Online Resource
| Extent: | Online-Ressource (xiv, 351 p) ill |
|---|---|
| Series: | Bloomberg Financial Ser. ; v.152 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Includes bibliographical references and indexes MANAGED FUTURESFOR INSTITUTIONALINVESTORS; Contents; Acknowledgments; Introduction: Why Invest in CTAs?; What Kind of Hedge Fund Is a CTA?; Why Do CTAs Make Money?; How Much Should You Invest?; What About the Risks?; They're a Good Fit for Institutional Investors; How the Book Is Structured; PART I: A PRACTICAL GUIDE TO THE INDUSTRY; CHAPTER 1 Understanding Returns; Risk and Cash Management; Trading, Funding, and Notional Levels; The Stability of Return Volatilities; Basic Futures Mechanics; A Typical Futures Portfolio; CHAPTER 2 Where Are the Data?; The CTA Universe and Your Range of Choices The Fluid Composition of a DatabaseHow Backfilled Data Can Mislead; Trading Programs and Lengths of Track Records; Returns Net of Fees and Share Classes; Sources of Data for Indexes of CTA Performance; CHAPTER 3 Structuring Your Investment: Frequently Asked Questions; How Many Managers Should You Choose?; What Are CTA Funds?; What Are Multi-CTA Funds?; What Are Managed Accounts?; What Are Platforms?; How Do You Compare and Contrast These Offerings?; Who Regulates CTAs?; How Are Structured Notes and Total Return Swaps Used by CTA Investors? What Are the Account Opening Procedures for a Managed Account?What Is the Minimum Investment in a CTA?; What Does It Mean When a Manager Is Closed?; What Are the Subscription Procedures for a Fund?; Conclusion; PART II: BUILDING BLOCKS; CHAPTER 4 How Trend Following Works; The Two Basic Strategies; Making the Systems Work in Practice; Transactions Costs; Other Considerations; Case Study: Two Models from 1994-2003; Rates of Return and Leverage; Commodities and Capacity Constraints; Market Environment and Give-Backs; CHAPTER 5 Two Benchmarks for Momentum Trading Data and the Trend-Following Sub-IndexTrend-Following Models; Laying the Groundwork for Analyzing Returns to Trend Following; Constructing a Portfolio; Simplifying Assumptions; How Did the Models Do?; The Newedge Trend Indicator; Next Steps; CHAPTER 6 The Value of Daily Return Data; How Good Are Daily Data?; Estimating Return Volatility; Distributions of Estimated Volatility; Beware a False Sense of Confidence; What If Underlying Returns Are Highly Skewed?; Effect on Drawdown Distributions; CHAPTER 7 Every Drought Ends in a Rainstorm: Mean Reversion, Momentum, or Serial Independence? A Focus on Conditional ReturnsThe Costs of Being Wrong about Timing Investments Can Be Substantial; The Data; The Test Tally; Test for Serial Dependence: Autocorrelation; Test for Serial Dependence: Runs; Conditional Return Distributions; Conclusion; CHAPTER 8 Understanding Drawdowns; Drawdown Defined; What Should They Look Like?; What Forces Shape the Distributions?; The Distribution of All Drawdowns; The Distribution of Maximum Drawdowns; The Core Drawdown Function; Empirical Drawdown Distributions; Reconciling Theoretical and Empirical Distributions Putting a Manager's Experience in Perspective Electronic reproduction; Available via World Wide Web |
| ISBN: | 978-1-57660-374-1 ; 978-0-470-87922-1 ; 978-1-118-53160-0 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013331728