Managed futures for institutional investors : analysis and portfolio construction

Managed futures for institutional investors : analysis and portfolio construction / Galen Burghardt, Brian Walls.

A practical guide to institutional investing success Managed 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 proce...

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Bibliographic Details
Main Author: Burghardt, Galen
Other Authors: Walls, Brian
Format: eBook
Language:English
Published: Hoboken, N.J. : John Wiley & Sons, ©2011.
Series:Bloomberg financial series.
Subjects:
Futures.
Portfolio management.
Institutional investors.
Futures market.
BUSINESS & ECONOMICS > Investments & Securities > Futures.
Futures market
Futures
Institutional investors
Portfolio management
Online Access:Click for online access
Table of Contents:
  • pt. 1. A practical guide to the industry
  • pt. 2. Building blocks
  • pt. 3. Portfolio construction.
  • Part I, A practical guide to the industry. 1, Understanding returns
  • 2, Where are the data?
  • 3, Structuring your investment : frequently asked questions
  • Part II,: Building blocks. 4, How trend following works
  • 5, Two benchmarks for momentum trading
  • 6, The value of daily return data
  • 7, Every drought ends in a rainstorm: mean reversion, momentum, or serial independence?
  • 8, Understanding drawdowns
  • 9, How stock price volatility affects returns
  • 10, The costs of active management
  • 11, Measuring market impact and liquidity
  • Part III, Portfolio construction. 12, Superstars versus teamwork
  • 13, A new look at constructing teamwork portfolios
  • 14, Correlations and holding periods : the research basis for the newedge alternativeedge short-term traders index
  • 15, "There are known unknowns" : the drag of imperfect estimates
  • Bibliography
  • About the authors - Index.

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