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High-performance managed futures [[electronic resource] ] : the new way to diversify your portfolio / / Mark H. Melin
| High-performance managed futures [[electronic resource] ] : the new way to diversify your portfolio / / Mark H. Melin |
| Autore | Melin Mark H |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (323 p.) |
| Disciplina |
332.64/52
332.6452 |
| Collana | Wiley finance series |
| Soggetto topico |
Portfolio management
Investments Risk |
| ISBN |
0-470-88685-4
1-282-77344-5 9786612773440 1-118-26768-0 0-470-88684-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
High-Performance Managed Futures: The New Way to Diversify Your Portfolio; Contents; Preface; Acknowledgments; Disclaimer; Chapter 1: Understand It: The Truth about Risk and Misunderstood Investments; Chapter 2: Define It: Establish Performance and Risk Targets; Chapter 3: Work With It: Build Basic Portfolios Using Targets; Chapter 4: Realize It: The Old Way versus High Performance; Chapter 5: Don't Be a Victim: Leverage Managed Futures Regulation and Account Structure to Avoid Hedge Fund Fraud; Chapter 6: Recognize It: Volatility + Volatility and Lintner's Message
Chapter 7: Use It: Reward-Adjusted Deviation (RAD) Considers Past Probability and Rewards SuccessChapter 8: Protect it: Principal-Protected, Conservative, and Risky Investments; Chapter 9: Use All of It: Overlooked Points of Correlation; Chapter 10: Build It: CTA Evaluation and Portfolio Construction; Chapter 11: Understand It: The Naked Truth Behind Managed Futures Risk; Chapter 12: Don't Sit Back: Active Management of Risky Investments; Appendix A: HPFM Strategy Benchmark Performance Study; Appendix B: Twelve Questions Investors Should Ask . . . of Themselves Appendix C: Selecting a Commodity Trading AdvisorAppendix D: Identifying True Risk and Utilizing the Best Managed Futures Performance Measure; Appendix E: Regulated versus Unregulated Entities; Appendix F: Markowitz and Lintner: A "Modern" Investment Method Half a Century Old; Notes; About the Author; Index |
| Record Nr. | UNINA-9910841626003321 |
Melin Mark H
|
||
| Hoboken, N.J., : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Managed futures for institutional investors [[electronic resource] ] : analysis and portfolio construction / / Galen Burghardt, Brian Walls
| Managed futures for institutional investors [[electronic resource] ] : analysis and portfolio construction / / Galen Burghardt, Brian Walls |
| Autore | Burghardt Galen |
| Pubbl/distr/stampa | Hoboken, N.J., : Bloomberg Press, c2011 |
| Descrizione fisica | 1 online resource (367 p.) |
| Disciplina |
332.64/52
332.6452 |
| Altri autori (Persone) | WallsBrian |
| Collana | Bloomberg financial series |
| Soggetto topico |
Futures
Portfolio management Institutional investors |
| ISBN |
1-283-07218-1
1-118-53160-4 9786613072184 0-470-87922-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Pt. 1. A practical guide to the industry -- pt. 2. Building blocks -- pt. 3. Portfolio construction. |
| Record Nr. | UNINA-9910141149203321 |
|
Burghardt Galen
|
||
| Hoboken, N.J., : Bloomberg Press, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Managed futures for institutional investors [[electronic resource] ] : analysis and portfolio construction / / Galen Burghardt, Brian Walls
| Managed futures for institutional investors [[electronic resource] ] : analysis and portfolio construction / / Galen Burghardt, Brian Walls |
| Autore | Burghardt Galen |
| Pubbl/distr/stampa | Hoboken, N.J., : Bloomberg Press, c2011 |
| Descrizione fisica | 1 online resource (367 p.) |
| Disciplina |
332.64/52
332.6452 |
| Altri autori (Persone) | WallsBrian |
| Collana | Bloomberg financial series |
| Soggetto topico |
Futures
Portfolio management Institutional investors |
| ISBN |
1-283-07218-1
1-118-53160-4 9786613072184 0-470-87922-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Pt. 1. A practical guide to the industry -- pt. 2. Building blocks -- pt. 3. Portfolio construction. |
| Record Nr. | UNISA-996206468003316 |
|
Burghardt Galen
|
||
| Hoboken, N.J., : Bloomberg Press, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Managed futures for institutional investors [[electronic resource] ] : analysis and portfolio construction / / Galen Burghardt, Brian Walls
| Managed futures for institutional investors [[electronic resource] ] : analysis and portfolio construction / / Galen Burghardt, Brian Walls |
| Autore | Burghardt Galen |
| Pubbl/distr/stampa | Hoboken, N.J., : Bloomberg Press, c2011 |
| Descrizione fisica | 1 online resource (367 p.) |
| Disciplina |
332.64/52
332.6452 |
| Altri autori (Persone) | WallsBrian |
| Collana | Bloomberg financial series |
| Soggetto topico |
Futures
Portfolio management Institutional investors |
| ISBN |
1-283-07218-1
1-118-53160-4 9786613072184 0-470-87922-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Pt. 1. A practical guide to the industry -- pt. 2. Building blocks -- pt. 3. Portfolio construction. |
| Record Nr. | UNINA-9910810082703321 |
|
Burghardt Galen
|
||
| Hoboken, N.J., : Bloomberg Press, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The number that killed us [[electronic resource] ] : a story of modern banking, flawed mathematics, and a big financial crisis / / Pablo Triana
| The number that killed us [[electronic resource] ] : a story of modern banking, flawed mathematics, and a big financial crisis / / Pablo Triana |
| Autore | Triana Pablo |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2012 |
| Descrizione fisica | 1 online resource (306 p.) |
| Disciplina | 332.64/52 |
| Soggetto topico |
Financial futures
Global Financial Crisis, 2008-2009 Risk management |
| ISBN |
1-118-17154-3
1-119-19882-8 1-283-33254-X 9786613332547 1-118-17153-5 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Number That Killed Us: A Story of Modern Banking, Flawed Mathematics, and a Big Financial Crisis; Contents; Introduction: When a Tie Is More Than Just a Tie; April 28, 2004: Steve Benardete Gets His Wish; The World Suffers; Chapter 1: The Greatest Story Never Told; Chapter 2: Origins; Chapter 3: They Tried to Save Us; Chapter 4: Regulatory Embracement; Chapter 5: Abetting the CDO Party; Chapter 6: VaR Goes to Washington; Chapter 7: The Common Sense That Should Rule the World; Finale: The Perils of Making the Simple Too Complex; Guest Contributions; Why Was VaR Embraced?
A Pioneer Wall Street Rocket Scientist's ViewNotes; Acknowledgments; About the Author; Index |
| Record Nr. | UNINA-9910139563703321 |
|
Triana Pablo
|
||
| Hoboken, NJ, : Wiley, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The number that killed us [[electronic resource] ] : a story of modern banking, flawed mathematics, and a big financial crisis / / Pablo Triana
| The number that killed us [[electronic resource] ] : a story of modern banking, flawed mathematics, and a big financial crisis / / Pablo Triana |
| Autore | Triana Pablo |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2012 |
| Descrizione fisica | 1 online resource (306 p.) |
| Disciplina | 332.64/52 |
| Soggetto topico |
Financial futures
Global Financial Crisis, 2008-2009 Risk management |
| ISBN |
1-118-17154-3
1-119-19882-8 1-283-33254-X 9786613332547 1-118-17153-5 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Number That Killed Us: A Story of Modern Banking, Flawed Mathematics, and a Big Financial Crisis; Contents; Introduction: When a Tie Is More Than Just a Tie; April 28, 2004: Steve Benardete Gets His Wish; The World Suffers; Chapter 1: The Greatest Story Never Told; Chapter 2: Origins; Chapter 3: They Tried to Save Us; Chapter 4: Regulatory Embracement; Chapter 5: Abetting the CDO Party; Chapter 6: VaR Goes to Washington; Chapter 7: The Common Sense That Should Rule the World; Finale: The Perils of Making the Simple Too Complex; Guest Contributions; Why Was VaR Embraced?
A Pioneer Wall Street Rocket Scientist's ViewNotes; Acknowledgments; About the Author; Index |
| Record Nr. | UNINA-9910826559703321 |
|
Triana Pablo
|
||
| Hoboken, NJ, : Wiley, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The post-reform guide to derivatives and futures [[electronic resource] /] / Gordon F. Peery
| The post-reform guide to derivatives and futures [[electronic resource] /] / Gordon F. Peery |
| Autore | Peery Gordon F |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2012 |
| Descrizione fisica | 1 online resource (384 p.) |
| Disciplina | 332.64/52 |
| Collana | Wiley finance series |
| Soggetto topico |
Derivative securities - United States
Derivative securities - Government policy - United States Futures - United States Futures - Government policy - United States Global Financial Crisis, 2008-2009 |
| ISBN |
1-118-20542-1
1-119-20029-6 1-283-42520-3 9786613425201 1-118-20540-5 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Acknowledgments Preface Introduction Part I: The Crises That Led to Derivatives Reform Chapter 1: Seven Causes of the 2008 Market Crises Ignoring the Warning Signs More than Seven Causes of the 2008 Market Crises An Incomplete Response to Problems Stemming from the Enron Bankruptcy Enron Finance Used by Banks and the Lack of Regulation The Absence of Effective Regulation The Shadow-Banking System Development of an Unregulated Global Derivatives Market The Rise of Credit Derivatives and the Credit Default Swap Private-Label Residential Mortgage-Backed Securitization U.S. Policy Fostering Home Ownership and GSE Mismanagement Derivatives and Structured Products Accounting Practices Notes Chapter 2: Timeline for U.S. Derivatives Reform March 17, 2008: Bear Stearns Is Sold March 27, 2008: Barack Obama Introduces Reform Principles September 15, 2008: A Bankrupt Lehman Brothers November 2008-January 2009: American Leadership Ascends March 26, 2009: Geithner Provides Testimony to Congress on Reform May 13, 2009: Geithner Writes a Letter to Harry Reid June 2, 2009: An Early Voice Speaks Out against the Clearing Mandate June 22, 2009: American Corporations Lobby against Central Clearing Mandates for OTC Derivatives July 22, 2009: Introduction of Legislation Favoring Exemptions to the Clearing Mandate July 30, 2009: Introduction of Broad Outlines of the New Law September 8, 2009: The Industry Attacks Centralized Clearing October 2, 2009: House Releases Draft of OTC Derivative Legislation November 11, 2009: Senate Releases Draft of OTC Derivative Legislation December 11, 2009: House Passes the Wall Street Reform and Consumer Protection Act of 2009 January 1, 2010: The New York Fed Publishes the "Policy Perspectives on OTC Derivatives Market Structure" April 7, 2010: Financial Crisis Inquiry Commission Begins Hearings April 16, 2010: Senator Lincoln Introduces the Wall Street Transparency and Accountability Act of 2010 April 22, 2010: President Obama Returns to Cooper Union to Speak on Reform April 26-27, 2010: Senate Votes to Delay Debate on Derivatives Reform April 27, 2010: The Goldman Hearing April 28, 2010: Senate Votes Again on Proceeding with Financial Services Reform May 20, 2010: Senate Passes Its Version of the Legislation June 30, 2010 and July 15, 2010: Congress Approves Legislation and Seeks the President's Approval July 21, 2010: President Obama Signed Dodd-Frank into Law U.S. Rule Making in 2010 and 2011 U.S. Reform Blazes the Trail for Global Derivatives Reform Notes Part II: Derivatives Reform Introduction to Part II Chapter 3: Introduction to Futures, Margin, and Central Clearing Three Crises and the Need for the Futures Model A Brief History of Futures Contracts and Markets The Commodity Futures Modernization Act of 2000 Introduction to the Futures Model and Basic Futures Concepts Regulation of Futures Examples of Futures and Other Listed Products A Futures Contract in Action Default by a Clearing Member in the Futures Model Global Reform and the Futures Model Chapter 4: U.S. Derivatives Law in Title VII of Dodd Frank Organization of Dodd-Frank Introduction to Titles VII and VIII The Approach to Understanding New Derivatives Law in the United States Products People Taxpayers Whistleblowers Platforms Chapter 5: Title VIII of Dodd Frank Opposition to Title VIII Before Title VIII What Exactly Does Title VIII Set into Motion and When? What Is a Systemically Important Activity? Practical Results of the New Law Notes Chapter 6: A Primer on Legal Documentation Background "Let's Use an ISDA" History of the ISDA Basic OTC Architecture The ISDA Documentation in Practice, and Problems in 2008 Notes Chapter 7: The Life Cycle of a Cleared Derivatives Trade Step One: Legal Documentation Step Two: Trade Execution via an SEF, SB-SEF, or DCM Step Three: Alleging and Affirming a Trade; Reporting in Real Time Step Four: The FCM Take-Up Step Five: Trade Is Centrally Cleared Step Six: The Trade Is Reported for the Second Time Part III: Trading Before and After Reform Chapter 8: The History of Derivatives and Futures The Earliest Derivative Trees, Forests, and Wildfires Did They Exist in Antiquity? OTC and Exchange Derivatives Back to Biblical Times The Dark Ages and Medieval Europe The Muslim Empire Development and Early Use of the Bill of Trade or Exchange After the Protestant Reformation An Early Sighting of the Term Commodity Pools Ten Wise Men The Modern Era Begins in the States in 1848 Early-Twentieth-Century America S&Ls and Mortgage Finance Functions Well Before Abuses The Creation of Fannie and Freddie Disco, Dealers, Swaps, and Redlining in the 1970's U.S. Regulators Formally Recognize Swaps The Birth of the OTC Market The Evolution of Option Markets The Futures Trading and Practices Act and the 1993 Swaps Exemption ISDA The 1987 Crash and 1990's Crises The Commodity Futures Modernization Act of 2000 Enron Loophole The First Decade of the Twenty-First Century Notes Chapter 9: Market Structure Before and After 2010 Ancient Commodity Markets Earliest Modern Exchanges The Great Depression and Bucket Shops Open Outcry and Pits Give Way to the Machines Reform of U.S. Market Structure Derivative Clearing Organizations Swap Data Repository Market Participants in the OTC Derivatives Trade Part IV: Continuing Education Chapter 10: Survey of Derivatives Overview of the Strategies and Trade Structure Early Derivatives and the Beginnings of the OTC Market Forwards versus Options Option Basics Options Pricing Basic Option Strategies Exchange-Traded Options Swaps Follow Options in the Evolution of Derivatives Credit Derivatives Credit-Linked Notes and Other Securities Total Return Swaps Interest Rate Swaps Equity Swaps Currency Derivatives Property Derivatives Commodity Derivatives Energy Swaps Structured Products, Securitization, CDOs and CDOs Squared Exchange-Traded Derivatives: Futures and Other Listed Products Additional Resources Online Resources Glossaries About the Author Index. |
| Record Nr. | UNINA-9910139297003321 |
|
Peery Gordon F
|
||
| Hoboken, NJ, : Wiley, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The post-reform guide to derivatives and futures [[electronic resource] /] / Gordon F. Peery
| The post-reform guide to derivatives and futures [[electronic resource] /] / Gordon F. Peery |
| Autore | Peery Gordon F |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2012 |
| Descrizione fisica | 1 online resource (384 p.) |
| Disciplina | 332.64/52 |
| Collana | Wiley finance series |
| Soggetto topico |
Derivative securities - United States
Derivative securities - Government policy - United States Futures - United States Futures - Government policy - United States Global Financial Crisis, 2008-2009 |
| ISBN |
1-118-20542-1
1-119-20029-6 1-283-42520-3 9786613425201 1-118-20540-5 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Acknowledgments Preface Introduction Part I: The Crises That Led to Derivatives Reform Chapter 1: Seven Causes of the 2008 Market Crises Ignoring the Warning Signs More than Seven Causes of the 2008 Market Crises An Incomplete Response to Problems Stemming from the Enron Bankruptcy Enron Finance Used by Banks and the Lack of Regulation The Absence of Effective Regulation The Shadow-Banking System Development of an Unregulated Global Derivatives Market The Rise of Credit Derivatives and the Credit Default Swap Private-Label Residential Mortgage-Backed Securitization U.S. Policy Fostering Home Ownership and GSE Mismanagement Derivatives and Structured Products Accounting Practices Notes Chapter 2: Timeline for U.S. Derivatives Reform March 17, 2008: Bear Stearns Is Sold March 27, 2008: Barack Obama Introduces Reform Principles September 15, 2008: A Bankrupt Lehman Brothers November 2008-January 2009: American Leadership Ascends March 26, 2009: Geithner Provides Testimony to Congress on Reform May 13, 2009: Geithner Writes a Letter to Harry Reid June 2, 2009: An Early Voice Speaks Out against the Clearing Mandate June 22, 2009: American Corporations Lobby against Central Clearing Mandates for OTC Derivatives July 22, 2009: Introduction of Legislation Favoring Exemptions to the Clearing Mandate July 30, 2009: Introduction of Broad Outlines of the New Law September 8, 2009: The Industry Attacks Centralized Clearing October 2, 2009: House Releases Draft of OTC Derivative Legislation November 11, 2009: Senate Releases Draft of OTC Derivative Legislation December 11, 2009: House Passes the Wall Street Reform and Consumer Protection Act of 2009 January 1, 2010: The New York Fed Publishes the "Policy Perspectives on OTC Derivatives Market Structure" April 7, 2010: Financial Crisis Inquiry Commission Begins Hearings April 16, 2010: Senator Lincoln Introduces the Wall Street Transparency and Accountability Act of 2010 April 22, 2010: President Obama Returns to Cooper Union to Speak on Reform April 26-27, 2010: Senate Votes to Delay Debate on Derivatives Reform April 27, 2010: The Goldman Hearing April 28, 2010: Senate Votes Again on Proceeding with Financial Services Reform May 20, 2010: Senate Passes Its Version of the Legislation June 30, 2010 and July 15, 2010: Congress Approves Legislation and Seeks the President's Approval July 21, 2010: President Obama Signed Dodd-Frank into Law U.S. Rule Making in 2010 and 2011 U.S. Reform Blazes the Trail for Global Derivatives Reform Notes Part II: Derivatives Reform Introduction to Part II Chapter 3: Introduction to Futures, Margin, and Central Clearing Three Crises and the Need for the Futures Model A Brief History of Futures Contracts and Markets The Commodity Futures Modernization Act of 2000 Introduction to the Futures Model and Basic Futures Concepts Regulation of Futures Examples of Futures and Other Listed Products A Futures Contract in Action Default by a Clearing Member in the Futures Model Global Reform and the Futures Model Chapter 4: U.S. Derivatives Law in Title VII of Dodd Frank Organization of Dodd-Frank Introduction to Titles VII and VIII The Approach to Understanding New Derivatives Law in the United States Products People Taxpayers Whistleblowers Platforms Chapter 5: Title VIII of Dodd Frank Opposition to Title VIII Before Title VIII What Exactly Does Title VIII Set into Motion and When? What Is a Systemically Important Activity? Practical Results of the New Law Notes Chapter 6: A Primer on Legal Documentation Background "Let's Use an ISDA" History of the ISDA Basic OTC Architecture The ISDA Documentation in Practice, and Problems in 2008 Notes Chapter 7: The Life Cycle of a Cleared Derivatives Trade Step One: Legal Documentation Step Two: Trade Execution via an SEF, SB-SEF, or DCM Step Three: Alleging and Affirming a Trade; Reporting in Real Time Step Four: The FCM Take-Up Step Five: Trade Is Centrally Cleared Step Six: The Trade Is Reported for the Second Time Part III: Trading Before and After Reform Chapter 8: The History of Derivatives and Futures The Earliest Derivative Trees, Forests, and Wildfires Did They Exist in Antiquity? OTC and Exchange Derivatives Back to Biblical Times The Dark Ages and Medieval Europe The Muslim Empire Development and Early Use of the Bill of Trade or Exchange After the Protestant Reformation An Early Sighting of the Term Commodity Pools Ten Wise Men The Modern Era Begins in the States in 1848 Early-Twentieth-Century America S&Ls and Mortgage Finance Functions Well Before Abuses The Creation of Fannie and Freddie Disco, Dealers, Swaps, and Redlining in the 1970's U.S. Regulators Formally Recognize Swaps The Birth of the OTC Market The Evolution of Option Markets The Futures Trading and Practices Act and the 1993 Swaps Exemption ISDA The 1987 Crash and 1990's Crises The Commodity Futures Modernization Act of 2000 Enron Loophole The First Decade of the Twenty-First Century Notes Chapter 9: Market Structure Before and After 2010 Ancient Commodity Markets Earliest Modern Exchanges The Great Depression and Bucket Shops Open Outcry and Pits Give Way to the Machines Reform of U.S. Market Structure Derivative Clearing Organizations Swap Data Repository Market Participants in the OTC Derivatives Trade Part IV: Continuing Education Chapter 10: Survey of Derivatives Overview of the Strategies and Trade Structure Early Derivatives and the Beginnings of the OTC Market Forwards versus Options Option Basics Options Pricing Basic Option Strategies Exchange-Traded Options Swaps Follow Options in the Evolution of Derivatives Credit Derivatives Credit-Linked Notes and Other Securities Total Return Swaps Interest Rate Swaps Equity Swaps Currency Derivatives Property Derivatives Commodity Derivatives Energy Swaps Structured Products, Securitization, CDOs and CDOs Squared Exchange-Traded Derivatives: Futures and Other Listed Products Additional Resources Online Resources Glossaries About the Author Index. |
| Record Nr. | UNINA-9910825835503321 |
|
Peery Gordon F
|
||
| Hoboken, NJ, : Wiley, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Trend following with managed futures : the search for crisis alpha / / Alex Greyserman, Kathryn Kaminski
| Trend following with managed futures : the search for crisis alpha / / Alex Greyserman, Kathryn Kaminski |
| Autore | Greyserman Alex |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (454 p.) |
| Disciplina | 332.64/52 |
| Collana | Wiley Trading Series |
| Soggetto topico |
Investments
Securities |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-89102-3
1-118-89101-5 1-118-89104-X |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Foreword Andrew W. Lo Preface Introduction Part I: Introduction Chapter 1: A Multi-Centennial View of Trend Following The Tale of Trend Following: A Historical Study Return Characteristics over the Centuries Risk Characteristics over the Centuries Portfolio Benefits over the Centuries Summary Further Reading and References Appendix: Included Markets and Relevant Assumptions Part II: Trend Following Basics Chapter 2: Review of Futures Markets and Futures Trading Forward and Futures Contract Fundamentals Review of the Managed Futures Industry Futurization Summary Futures Reading and References Chapter 3: Systematic Trend Following Basics The Basic Building Blocks of a Trend Following System Strategy Classification and Core Differentiators Partitioning Trend Following Systems Summary Further Readings and References Part III: Theoretical Foundations Chapter 4: Adaptive Markets and Trend Following The Adaptive Market Hypothesis A Framework for Speculative Risk Taking A Closer look at Crisis Alpha Summary Further Reading and References Chapter 5: Divergence and the Tradability of Trend Risk vs. Uncertainty Convergence vs. Divergence Measuring Market Divergence at the Portfolio Level Testing the Stationarity of Market Divergence The Tradability of Trend The Importance of Entry vs. Exit Summary Further Reading and References Chapter 6: The Role of Interest Rates and the Roll Yield Collateral Yield Decomposition into Roll Yield and Spot Interest Rates and the Roll Yield for Bond Futures Market Divergence and the Roll Yield Commodity Markets and the Roll Yield Summary Further References and Readings Part IV: Trend Following as an Alternative Asset Class Chapter 7: Properties of Trend Following Returns Trend Following as an Alternative Asset Class Crisis Alpha Crisis Beta Key Statistical Properties Summary Featured Readings and References Appendix: A Summary of Common Performance Measures Chapter 8: Characteristics of Drawdowns, Volatility, and Correlation Understanding the Properties of Drawdowns Correlation and Diversification at the Portfolio Level Summary Further Reading and References Chapter 9: The Hidden and Unhidden Risks of Trend Following Directional and Non-Directional Strategies: A Review Defining Hidden and Unhidden Risks The Myths and Mystique of the Sharpe Ratio Unraveling Hidden Risks of Dynamic Leveraging Summary Further Reading and References Chapter 10: Trend Following in Various Macroeconomic Environments Interest Rate Environments Regulatory Forces and Government Intervention Summary Further Reading and References Part V: Benchmarking and Style Analysis Chapter 11: Return Dispersion Strategy Classification and Return Dispersion A Closer Look at Capital Allocation and Position Sizing Return Dispersion from an Investor's Perspective Empirical and Theoretical Considerations for Correlated Return Series Summary Further Readings and References Chapter 12: Index and Style Factor Construction Divergent Risk Taking Revisited Defining a Divergent Trend Following Strategy Constructing Style Factors Characteristics of the Style Factors Summary Further Readings and References Chapter 13: Benchmarking and Style Analysis A Framework for Return based Style Analysis Style Analysis for Individual CTA Managers Sector Level Analysis of the Market Size Factor Manager Selection and Allocation Summary Further Readings and References Part VI: Trend Following in an Investment Portfolio Chapter 14: Portfolio Perspectives on Trend Following A Closer Look at Crisis Alpha The Impact of Mark-to-Market on Correlation Understanding Cyclicality in Managed Futures Summary Further Reading and References Chapter 15: Practicalities of Size, Liquidity, and Capacity Does Size Matter? The Impact of Less Liquid Markets Summary Further Readings and References Appendix: Market Symbols and Names Chapter 16: Diversifying the Diversifier From Pure Trend Following to Multi-Strategy Portfolio Analysis of the Move to Multi-Strategy Hidden Risk of Leveraging Low Volatility Strategies Summary Further Reading and References Chapter 17: Dynamic Allocation to Trend Following A Framework for Dynamic Allocation Mean Reversion in Trend Following Return Series Investigating Dynamic Allocation Strategies Summary Further Reading and References Appendix: A Theoretical Analysis of Mean Reversion in Trend Following Glossary of Key Terms About the Authors Index . |
| Record Nr. | UNINA-9910132159503321 |
|
Greyserman Alex
|
||
| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Trend following with managed futures : the search for crisis alpha / / Alex Greyserman, Kathryn Kaminski
| Trend following with managed futures : the search for crisis alpha / / Alex Greyserman, Kathryn Kaminski |
| Autore | Greyserman Alex |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (454 p.) |
| Disciplina | 332.64/52 |
| Collana | Wiley Trading Series |
| Soggetto topico |
Investments
Securities |
| ISBN |
1-118-89102-3
1-118-89101-5 1-118-89104-X |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Foreword Andrew W. Lo Preface Introduction Part I: Introduction Chapter 1: A Multi-Centennial View of Trend Following The Tale of Trend Following: A Historical Study Return Characteristics over the Centuries Risk Characteristics over the Centuries Portfolio Benefits over the Centuries Summary Further Reading and References Appendix: Included Markets and Relevant Assumptions Part II: Trend Following Basics Chapter 2: Review of Futures Markets and Futures Trading Forward and Futures Contract Fundamentals Review of the Managed Futures Industry Futurization Summary Futures Reading and References Chapter 3: Systematic Trend Following Basics The Basic Building Blocks of a Trend Following System Strategy Classification and Core Differentiators Partitioning Trend Following Systems Summary Further Readings and References Part III: Theoretical Foundations Chapter 4: Adaptive Markets and Trend Following The Adaptive Market Hypothesis A Framework for Speculative Risk Taking A Closer look at Crisis Alpha Summary Further Reading and References Chapter 5: Divergence and the Tradability of Trend Risk vs. Uncertainty Convergence vs. Divergence Measuring Market Divergence at the Portfolio Level Testing the Stationarity of Market Divergence The Tradability of Trend The Importance of Entry vs. Exit Summary Further Reading and References Chapter 6: The Role of Interest Rates and the Roll Yield Collateral Yield Decomposition into Roll Yield and Spot Interest Rates and the Roll Yield for Bond Futures Market Divergence and the Roll Yield Commodity Markets and the Roll Yield Summary Further References and Readings Part IV: Trend Following as an Alternative Asset Class Chapter 7: Properties of Trend Following Returns Trend Following as an Alternative Asset Class Crisis Alpha Crisis Beta Key Statistical Properties Summary Featured Readings and References Appendix: A Summary of Common Performance Measures Chapter 8: Characteristics of Drawdowns, Volatility, and Correlation Understanding the Properties of Drawdowns Correlation and Diversification at the Portfolio Level Summary Further Reading and References Chapter 9: The Hidden and Unhidden Risks of Trend Following Directional and Non-Directional Strategies: A Review Defining Hidden and Unhidden Risks The Myths and Mystique of the Sharpe Ratio Unraveling Hidden Risks of Dynamic Leveraging Summary Further Reading and References Chapter 10: Trend Following in Various Macroeconomic Environments Interest Rate Environments Regulatory Forces and Government Intervention Summary Further Reading and References Part V: Benchmarking and Style Analysis Chapter 11: Return Dispersion Strategy Classification and Return Dispersion A Closer Look at Capital Allocation and Position Sizing Return Dispersion from an Investor's Perspective Empirical and Theoretical Considerations for Correlated Return Series Summary Further Readings and References Chapter 12: Index and Style Factor Construction Divergent Risk Taking Revisited Defining a Divergent Trend Following Strategy Constructing Style Factors Characteristics of the Style Factors Summary Further Readings and References Chapter 13: Benchmarking and Style Analysis A Framework for Return based Style Analysis Style Analysis for Individual CTA Managers Sector Level Analysis of the Market Size Factor Manager Selection and Allocation Summary Further Readings and References Part VI: Trend Following in an Investment Portfolio Chapter 14: Portfolio Perspectives on Trend Following A Closer Look at Crisis Alpha The Impact of Mark-to-Market on Correlation Understanding Cyclicality in Managed Futures Summary Further Reading and References Chapter 15: Practicalities of Size, Liquidity, and Capacity Does Size Matter? The Impact of Less Liquid Markets Summary Further Readings and References Appendix: Market Symbols and Names Chapter 16: Diversifying the Diversifier From Pure Trend Following to Multi-Strategy Portfolio Analysis of the Move to Multi-Strategy Hidden Risk of Leveraging Low Volatility Strategies Summary Further Reading and References Chapter 17: Dynamic Allocation to Trend Following A Framework for Dynamic Allocation Mean Reversion in Trend Following Return Series Investigating Dynamic Allocation Strategies Summary Further Reading and References Appendix: A Theoretical Analysis of Mean Reversion in Trend Following Glossary of Key Terms About the Authors Index . |
| Record Nr. | UNINA-9910830003703321 |
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Greyserman Alex
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| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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