Managed futures and their role in investment portfolios
著者
書誌事項
Managed futures and their role in investment portfolios
（The Research Foundation of AIMR and Blackwell series in finance）
Research Foundation of the Institute of Chartered Financial Analysts , Blackwell, 2000
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注記
"Reissued in new format by Blackwell 2000"
Includes bibliographical references (p. 72-78)
内容説明・目次
内容説明
One of the many advantages managed futures offer is that their returns have low correlations with the returns of other traditional asset classes-even though they can entail significant costs. This monograph provides an overview of the industry, discusses the advantages and disadvantages of managed futures, reviews their historical performance record, presents a method for evaluating their performance in a portfolio, and lays out how to establish a managed futures program.
目次
Foreword. Preface. 1. Introduction. 2. The Managed Futures Industry. 3. Advantages and Disadvantages of Managed Futures. 4. The Performance of Managed Futures. 5. Evaluating the Performance of a Managed Futures Program. 6. Legal, Regulatory, Accounting, and Tax Considerations in Managed Futures. 7. Setting Up a Managed Futures Program. 8. Summary. Appendix A. Measures of passive and Managed Futures Performance. Appendix B. Sources of Information on Managed Futures. References and Bibliography on Managed Futures.
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