Managed Futures for Institutional Investors: Analysis and Portfolio Construction (Bloomberg Financial)-Galen Burghardt, Brian Walls

  • Title: Managed Futures for Institutional Investors: Analysis and Portfolio Construction (Bloomberg Financial)
  • Author: Galen Burghardt, Brian Walls
  • Released: 2011-05-03
  • Language:
  • Pages: 351
  • ISBN: 1576603741
  • ISBN13: 978-1576603741
  • ASIN: 1576603741


From the Inside Flap Managed 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.

Authors 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 Managed Futures for Institutional Investors, 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.

Divided into three comprehensive parts, the book opens with a detailed discussion of how thisspecific 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.

Part 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 followingworks 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.

Rounding 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 perform well. Here, the authors share their insights 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.

Using 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.

From the Back Cover Praise for Managed Futures for Institutional Investors

"Brian and Galen echo their wealth of experience and their access to a data set of unrivalled breadth to produce a useful and comprehensive guide to the managed futures industry. Topics are tackled responsibly and with great perspective. A useful guide for all managed futures investors." —Leda Braga, PhD, President, BlueCrest Capital Management LLP

"As one of the only books to analytically address the effect of estimation error on inferences and decision making, this book is a must-read for any serious hedge fund investor. Building on their own long history of thoughtful research, Galen and Brian deliver an exceptionally clear exposition of the managed futures industry. Their expert knowledge of the markets in which CTAs invest, the key participants involved, and the nuances of the data enable Galen and Brian to offer both a state-of-the-art understanding of every component of CTA investing as well as expansive insights about how investors should evaluate and combine managers using the historical data available." —Mark Carhart, PhD, CEO, Kepos Capital LP

"Burghardt and Walls' unique backgrounds of academic research combined with practical market experience make this book a required read for any institutional investor consideringa managed futures investment." —Tony Gannon, CEO, Abbey Capital Limited

"Galen Burghardt and Brian Walls have produced a superb book on managed futures. It is an accessible yet thoughtful and rigorous analysis of a much misunderstood asset class by two of the very best experts in the field. The clarity of their explanations and the quality of their research are exceptional. Every institutional investor should own a copy." —Ewan Kirk, PhD, CEO and founder, Cantab Capital Partners

"This book is a fantastic introduction to managed futures. The research is of the highest quality, the topics are both broad and thoroughly researched, and the writing is clear and interesting. Galen and Brian have produced an indispensable resource for any serious investor." —Rishi K Narang, founding principal, Telesis Capital LLC, and author of Inside the Black Box: The Simple Truth About Quantitative Trading

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