| Description |
1 online resource (368). |
| Series |
Bloomberg financial series |
|
Bloomberg financial series.
|
| Contents |
Cover -- 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? -- TheyRe 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 Database -- How 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 19948211;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-Index -- Trend-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 Returns -- The 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. |
| Bibliography |
Includes bibliographical references and indexes. |
| Summary |
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 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 effe. |
| Subject |
Futures.
|
|
Portfolio management.
|
|
Institutional investors.
|
|
Futures market.
|
|
Marchés à terme. |
|
Gestion de portefeuille. |
|
Investisseurs institutionnels. |
|
Futures market |
|
Futures |
|
Institutional investors |
|
Portfolio management |
| Genre |
Electronic resource. |
| Added Author |
Walls, Brian. |
| ISBN |
9780470879221 (e-book) |
|
047087922X (e-book) |
|
1576603741 |
|
9781576603741 |
|
(cloth) |
|
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