Managed Futures for Institutional Investors: Analysis and Portfolio Construction

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John Wiley & Sons, May 3, 2011 - Business & Economics - 351 pages
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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 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 regulated
  • Offers 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 objectives

Managed Futures for Institutional Investors provides all the practical information to manage this type of investment well.

 

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Contents

A PRACTICAL GUIDE TO THE INDUSTRY
15
CHAPTER 2
41
CHAPTER 3
53
Contents
62
BUILDING BLOCKS
73
CHAPTER 5
99
CHAPTER 6
129
Contents ix
151
CHAPTER 10
217
CHAPTER 11
227
Contents
234
PORTFOLIO CONSTRUCTION
251
CHAPTER 13
279
CHAPTER 14
297
Contents xi
319
About the Authors
343

CHAPTER 8
181
CHAPTER 9
201

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About the author (2011)

Galen Burghardt is Director of Research for Newedge USA, LLC, a joint venture between Calyon and Soci t G n 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. 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.

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