{"product_id":"managed-futures-for-institutional-investors-isbn-9781576603741","title":"Managed Futures for Institutional Investors","description":"\u003cb\u003eA practical guide to institutional investing success\u003c\/b\u003e \u003cp\u003e\u003ci\u003eManaged Futures for Institutional Investors\u003c\/i\u003e 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.\u003c\/p\u003e \u003cp\u003eBacked 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.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eShows where to find data to evaluate managed futures and explains how managed futures are regulated\u003c\/li\u003e \u003cli\u003eOffers guidance on how to apply classic portfolio construction tools to managed futures\u003c\/li\u003e \u003cli\u003eReveals how managed futures investments can help investors evaluate and meet risk, return, and liquidity objectives\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003e\u003ci\u003eManaged Futures for Institutional Investors\u003c\/i\u003e provides all the practical information to manage this type of investment well.\u003c\/p\u003e \u003cp\u003eAcknowledgments xiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIntroduction: Why Invest in CTAs? 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhat Kind of Hedge Fund Is a CTA? 1\u003c\/p\u003e \u003cp\u003eWhy Do CTAs Make Money? 2\u003c\/p\u003e \u003cp\u003eHow Much Should You Invest? 7\u003c\/p\u003e \u003cp\u003eWhat About the Risks? 9\u003c\/p\u003e \u003cp\u003eThey’re a Good Fit for Institutional Investors 10\u003c\/p\u003e \u003cp\u003eHow the Book Is Structured 11\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I: A Practical Guide to the Industry\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Understanding Returns 17\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRisk and Cash Management 18\u003c\/p\u003e \u003cp\u003eTrading, Funding, and Notional Levels 19\u003c\/p\u003e \u003cp\u003eThe Stability of Return Volatilities 19\u003c\/p\u003e \u003cp\u003eBasic Futures Mechanics 20\u003c\/p\u003e \u003cp\u003eA Typical Futures Portfolio 27\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Where Are the Data? 41\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe CTA Universe and Your Range of Choices 42\u003c\/p\u003e \u003cp\u003eThe Fluid Composition of a Database 44\u003c\/p\u003e \u003cp\u003eHow Backfilled Data Can Mislead 46\u003c\/p\u003e \u003cp\u003eTrading Programs and Lengths of Track Records 48\u003c\/p\u003e \u003cp\u003eReturns Net of Fees and Share Classes 49\u003c\/p\u003e \u003cp\u003eSources of Data for Indexes of CTA Performance 50\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Structuring Your Investment: Frequently Asked Questions 53\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHow Many Managers Should You Choose? 55\u003c\/p\u003e \u003cp\u003eWhat Are CTA Funds? 58\u003c\/p\u003e \u003cp\u003eWhat Are Multi-CTA Funds? 60\u003c\/p\u003e \u003cp\u003eWhat Are Managed Accounts? 62\u003c\/p\u003e \u003cp\u003eWhat Are Platforms? 66\u003c\/p\u003e \u003cp\u003eHow Do You Compare and Contrast These Offerings? 66\u003c\/p\u003e \u003cp\u003eWho Regulates CTAs? 68\u003c\/p\u003e \u003cp\u003eHow Are Structured Notes and Total Return Swaps Used by CTA Investors? 69\u003c\/p\u003e \u003cp\u003eWhat Are the Account Opening Procedures for a Managed Account? 69\u003c\/p\u003e \u003cp\u003eWhat Is the Minimum Investment in a CTA? 71\u003c\/p\u003e \u003cp\u003eWhat Does It Mean When a Manager Is Closed? 71\u003c\/p\u003e \u003cp\u003eWhat Are the Subscription Procedures for a Fund? 71\u003c\/p\u003e \u003cp\u003eConclusion 72\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II: Building Blocks\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 How Trend Following Works 75\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Two Basic Strategies 76\u003c\/p\u003e \u003cp\u003eMaking the Systems Work in Practice 79\u003c\/p\u003e \u003cp\u003eTransactions Costs 87\u003c\/p\u003e \u003cp\u003eOther Considerations 87\u003c\/p\u003e \u003cp\u003eCase Study: Two Models from 1994–2003 89\u003c\/p\u003e \u003cp\u003eRates of Return and Leverage 94\u003c\/p\u003e \u003cp\u003eCommodities and Capacity Constraints 94\u003c\/p\u003e \u003cp\u003eMarket Environment and Give-Backs 97\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Two Benchmarks for Momentum Trading 99\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eData and the Trend-Following Sub-Index 101\u003c\/p\u003e \u003cp\u003eTrend-Following Models 108\u003c\/p\u003e \u003cp\u003eLaying the Groundwork for Analyzing Returns to Trend Following 108\u003c\/p\u003e \u003cp\u003eConstructing a Portfolio 110\u003c\/p\u003e \u003cp\u003eSimplifying Assumptions 114\u003c\/p\u003e \u003cp\u003eHow Did the Models Do? 115\u003c\/p\u003e \u003cp\u003eThe \u003ci\u003eNewedge Trend Indicator \u003c\/i\u003e124\u003c\/p\u003e \u003cp\u003eNext Steps 124\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 The Value of Daily Return Data 129\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHow Good Are Daily Data? 130\u003c\/p\u003e \u003cp\u003eEstimating Return Volatility 138\u003c\/p\u003e \u003cp\u003eDistributions of Estimated Volatility 139\u003c\/p\u003e \u003cp\u003eBeware a False Sense of Confidence 145\u003c\/p\u003e \u003cp\u003eWhat If Underlying Returns Are Highly Skewed? 146\u003c\/p\u003e \u003cp\u003eEffect on Drawdown Distributions 148\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Every Drought Ends in a Rainstorm: Mean Reversion, Momentum, or Serial Independence? 151\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Focus on Conditional Returns 152\u003c\/p\u003e \u003cp\u003eThe Costs of Being Wrong about Timing Investments Can Be Substantial 152\u003c\/p\u003e \u003cp\u003eThe Data 153\u003c\/p\u003e \u003cp\u003eThe Test Tally 155\u003c\/p\u003e \u003cp\u003eTest for Serial Dependence: Autocorrelation 156\u003c\/p\u003e \u003cp\u003eTest for Serial Dependence: Runs 163\u003c\/p\u003e \u003cp\u003eConditional Return Distributions 165\u003c\/p\u003e \u003cp\u003eConclusion 175\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Understanding Drawdowns 181\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003ci\u003eDrawdown \u003c\/i\u003eDefined 182\u003c\/p\u003e \u003cp\u003eWhat Should They Look Like? 183\u003c\/p\u003e \u003cp\u003eWhat Forces Shape the Distributions? 184\u003c\/p\u003e \u003cp\u003eThe Distribution of All Drawdowns 185\u003c\/p\u003e \u003cp\u003eThe Distribution of Maximum Drawdowns 187\u003c\/p\u003e \u003cp\u003eThe Core Drawdown Function 190\u003c\/p\u003e \u003cp\u003eEmpirical Drawdown Distributions 192\u003c\/p\u003e \u003cp\u003eReconciling Theoretical and Empirical Distributions 192\u003c\/p\u003e \u003cp\u003ePutting a Manager’s Experience in Perspective 197\u003c\/p\u003e \u003cp\u003eWhat about Future Drawdowns? 198\u003c\/p\u003e \u003cp\u003eFurther Questions 199\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 How Stock Price Volatility Affects Returns 201\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Look at Historical Returns 202\u003c\/p\u003e \u003cp\u003eStock Price Volatility and Returns on the S\u0026amp;P 500 203\u003c\/p\u003e \u003cp\u003eS\u0026amp;P 500 Volatility Dominates Market Volatility 206\u003c\/p\u003e \u003cp\u003eCTA Returns, Correlations, and Volatility 210\u003c\/p\u003e \u003cp\u003eConclusion 215\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 The Costs of Active Management 217\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eForgone Loss Carry-Forward 217\u003c\/p\u003e \u003cp\u003eLiquidation and Reinvestment 220\u003c\/p\u003e \u003cp\u003eOther Costs 224\u003c\/p\u003e \u003cp\u003eConclusion 225\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Measuring Market Impact and Liquidity 227\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Very Fat Data Set 229\u003c\/p\u003e \u003cp\u003eA Representative Market Maker 234\u003c\/p\u003e \u003cp\u003eFitting the Curve to the Data 237\u003c\/p\u003e \u003cp\u003eHidden Liquidity 238\u003c\/p\u003e \u003cp\u003eEstimating the Risk-Aversion Parameter 243\u003c\/p\u003e \u003cp\u003eVolume, Volatility, and Market Impact Profiles 243\u003c\/p\u003e \u003cp\u003eWhere Do We Go from Here? 246\u003c\/p\u003e \u003cp\u003eAppendix 247\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III: Portfolio Construction\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Superstars versus Teamwork 253\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Contribution of Low Correlation to Portfolio Performance 255\u003c\/p\u003e \u003cp\u003eHow Reliable Are Correlation Estimates? 256\u003c\/p\u003e \u003cp\u003eThe Contest 262\u003c\/p\u003e \u003cp\u003eDropping and Adding Managers 270\u003c\/p\u003e \u003cp\u003eThe Value of Incremental Knowledge about Return Distributions 275\u003c\/p\u003e \u003cp\u003eThe Costs of Dropping and Adding Managers 277\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 A New Look at Constructing Teamwork Portfolios 279\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhy Look Back? 281\u003c\/p\u003e \u003cp\u003eA Fresh Look at the Original Research 282\u003c\/p\u003e \u003cp\u003eTwo New Approaches 287\u003c\/p\u003e \u003cp\u003eComparing the Four Approaches 291\u003c\/p\u003e \u003cp\u003eReviewing the Results 296\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Correlations and Holding Periods: The Research Basis  for the \u003ci\u003eNewedge AlternativeEdge Short-Term Traders Index \u003c\/i\u003e297\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eReview of Previous Research 298\u003c\/p\u003e \u003cp\u003eIndex Methodology and Construction 304\u003c\/p\u003e \u003cp\u003eHow Low Are the Correlations? 305\u003c\/p\u003e \u003cp\u003eWhy Are the Correlations Low? 308\u003c\/p\u003e \u003cp\u003eHolding Period and Return Correlation 308\u003c\/p\u003e \u003cp\u003eWhy Are There Not More Short-Term Traders? 313\u003c\/p\u003e \u003cp\u003eReplicating the Index 314\u003c\/p\u003e \u003cp\u003eCautions and Managing the Index 316\u003c\/p\u003e \u003cp\u003eConclusion 316\u003c\/p\u003e \u003cp\u003eAppendix 316\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 “There Are Known Unknowns”: The Drag of Imperfect Estimates 319\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eImproving Risk-Adjusted Returns 321\u003c\/p\u003e \u003cp\u003eThrowing Out the Losers 331\u003c\/p\u003e \u003cp\u003eDue Diligence and Evaluation 338\u003c\/p\u003e \u003cp\u003eBibliography 341\u003c\/p\u003e \u003cp\u003eAbout the Authors 343\u003c\/p\u003e \u003cp\u003eIndex 345\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eGALEN BURGHARDT\u003c\/b\u003e is Director of Research for Newedge USA, LLC, a joint venture between Calyon and Société Générale. He is the lead author of \u003ci\u003eThe Treasury Bond Basis\u003c\/i\u003e and \u003ci\u003eThe Eurodollar Futures and Options Handbook\u003c\/i\u003e, which are standard texts for users of financial futures. He was an adjunct professor of finance in the University of Chicago's Graduate School of Business (now the Booth School). He was the head of 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. \t \u003c\/p\u003e\u003cp\u003e\u003cb\u003eBRIAN WALLS\u003c\/b\u003e is the Global Head of Research at Newedge Prime Brokerage, the foremost provider of brokerage services to the managed futures industry. He has worked in the financial services industry for thirty years in the various capacities of trading, operations, management, and research. 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.   \u003c\/p\u003e\u003cp\u003eMANAGED FUTURES are an essential part of the investment industry. Within this arena, managed futures professionals—also known as Commodity Trading Advisors (CTAs)—actively manage client assets using global futures and other derivative securities. \u003c\/p\u003e\u003cp\u003eAuthors Galen Burghardt and Brian Walls—part of Newedge USA, a global multi-asset brokerage firm based out of Chicago—have extensive experience in the managed futures space, and now, with \u003ci\u003eManaged Futures for Institutional Investors\u003c\/i\u003e, they address the issues that will allow you to gain a firm understanding of this field and improve the performance of your portfolios through the use of CTAs. \u003c\/p\u003e\u003cp\u003eDivided into three comprehensive parts, the book opens with a detailed discussion of how this specific industry works. Here, everything from cash management practices and calculating a rate of return on something that has no net liquidating value is covered. You'll also gain insights on the most common vehicles for investing in CTAs, including funds, platforms, and managed accounts. \u003c\/p\u003e\u003cp\u003ePart Two, Building Blocks, offers some informative answers to the tough questions surrounding CTAs. Throughout this section, Burghardt and Walls touch on a number of topics, such as how trend following works and what active management of CTA investments really costs. Along the way, they also show how to put a CTA's drawdown experience in perspective and take a close look at how the single most important source of volatility in world financial markets affects the relationship between stock returns and CTA returns. \u003c\/p\u003e\u003cp\u003eRounding out this in-depth look at CTAs and managed futures, Part Three, Portfolio Construction, examines how the predictability of volatility and correlation can be used to build portfolios that into the things that will help, and hinder, you in creating a well-diversified portfolio. They also show how to identify low correlation reliably and where the past, in fact, does reveal something useful about the future. \u003c\/p\u003e\u003cp\u003eUsing futures as part of any actively managed portfolio is essential. This reliable guide offers a practical look at what CTAs and futures are all about, and how they can be used to evaluate and meet risk, return, and liquidity objectives.\u003c\/p\u003e","brand":"Bloomberg Press","offers":[{"title":"Default Title","offer_id":47989558608101,"sku":"NP9781576603741","price":65.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781576603741.jpg?v=1761784591","url":"https:\/\/k12savings.com\/es\/products\/managed-futures-for-institutional-investors-isbn-9781576603741","provider":"K12savings","version":"1.0","type":"link"}