Managed Futures for Institutional Investors

Galen Burghardt 지음

Bloomberg Press 2011년 04월 06일 출간

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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 regulatedOffers 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.

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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 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 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-Index.Trend Following Models.Laying the Groundwork for Analyzing Returns to Trend Following.Constructing a Portfolio.Simplifying Assumptions.How Di

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저자(글) Galen Burghardt

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Galen Burghardt is Director of Research for Newedge USA, LLC, a joint venture between Calyon and Soci#233;t#233; G#233;n#233;rale. He is the lead author of The Treasury Bond Basis and The Eurodollar Futures and Options Handbook, which are standard texts for users of financial futures. He was an adjunct professor offinance in the University of Chicago's Graduate Schoolof Business (now the Booth School). He was the headof financial research for the Chicago Mercantile Exchange, and gained access to the world of futures through his work in the Capital Markets Section of the Federal Reserve Board. His PhD in economics is from the University of Washington in Seattle.Brian Walls is the Global Head of Research at Newedge Prime Brokerage, the foremost provider of brokerage services to the managed futures industry. #191;He has worked in the financial services industry for thirty years in the various capacities of trading, operations, management, and research. #191;He was a pioneer of capital introduction services and is a sought after and trusted advisor to many Commodity Trading Advisors, global macro managers, fund of funds and institutional investors. He is the chairman of the Newedge Index Committee.