High-Performance Managed Futures : The New Way to Diversify Your Portfolio

by Mark H. Melin

• ISBN13: 9780470886670
• ISBN10: 0470886676
• Format: eBook
• Copyright: 2010-08-01
• Publisher: Wiley

Summary

A provocative and insightful look at using managed futures to diversify investment portfoliosFinancial advisors have long ignored managed futures. Yet, in the past thirty years, managed futures have significantly outperformed traditional stock and bond investments. In High-Performance Managed Futures: The New Way to Diversity Your Portfolio, author Mark H. Melin advises investors to question the commonly held belief of stocks and bonds, buy and hold. The first book of its kind, Melin advances a Nobel Prize winning investment method thatrs"s been updated for todayrs"s world to describe how managed futures can be used to design portfolios independent of the ups and downs of the stock market. The book: bull; Details a new path for managing investments thatrs"s not entirely dependent on the economy at large bull; Describes meaningful asset diversification, while exposing Wall Street myths on the subject Many of todayrs"s investorrs"s are betrayed by either short-term thinking or the now outdated buy and hold investing philosophy. High-Performance Managed Futures details how to develop a stock market neutral investment portfolio designed for success in the long-term.

Table of Contents

Disclaimer

Preface

Acknowledgments

Understand It - The Truth About Risk and Misunderstood Investments

What is this "Managed Futures" I've Never Heard About?

The Stock Market is NOT "Safe" and "Conservative" and Does Not Offer True Diversification

Providing Balance: Dissenting Views of Managed Futures Performance

It Works In Practice But Does It Work in Theory?

In Managed Futures Diversification, Not Cash, is King

Define It: Establish Performance and Risk Targets

The Simple Managed Futures Definition

Target Risk / Reward profiles

Work With It: Build Basic Portfolios Using Targets

Portfolio Diversification Vs Individual Manager Selection

Individual CTA Analysis / Portfolio Considerations

Realize It: The Old Way vs. High Performance

The Fastest Growing Asset Class?

This Unique and Very Special Asset Class

Managed Futures Defined

Decoding the D Doc

Don't be a Victim: Leverage Managed Futures Regulation and Account Structure to Avoid "Hedge Fund Fraud"

Managed Futures Regulation and Account Structure / Protection

Transparency: The Ability to See and Understand an Investment

Auditing Performance and Money Flow

Tight Regulatory Control: Meet the NFA and CFTC..

Recognize It: Volatility + Volatility and Lintner's Message

Volatility Used to Reduce Volatility

All Volatility Is Risky... To Different Degrees

Study One: How "Bad" Is Volatility?

Standard Deviation as Measure of Volatility

Use It: Reward Adjusted Deviation (RAD) Considers Past Probability and Rewards Success

The Test of Success

Study #1: Exploring RAD with Math

Study #2: Average Drawdown: Comparing RAD VS STD When Actual Risk Improves

Study #3: Where CTAs Fall Based on RAD

Risk "Indicators" Don't Indicate Risk

Principal Protected Conservative and Risky Investments

Don't Be Fooled

Four Steps to Creating Principal Protected Products

Strategies to Maximize Return

Use All of It: Overlooked Points of Correlation

Is Managed Futures the World's Most Non-Correlated Asset?

Balance Risk & Return: Managed Futures Cushion During Stock Turbulence

Correlation Study: Major Indexes

Managed Futures Non-Correlation Is Not an Accident

Agricultural Traders Don't Necessarily Correlate to Ag Markets

Traditional Returns-based Correlation Logic Is Faulty

Non-Correlation with Stocks Could Be the Investor's Best Friend

Build It: CTA Evaluation and Portfolio Construction

Translating Investor Goals into Portfolio Design Strategy

What is the "Best" Method to Identify Successful CTAs?

Portfolio Building with Volatility Skewing

High Performance Managed Futures Portfolio Building Exercise

Step Four: Detailed Due Dilligance

Why Investors Must Look Past Simple Average Return Headlines

The "Hidden" Risk in Un-even Returns Distribution

Which Portfolio Do You Prefer?

Understand It: The Naked Truth Behind Managed Futures Risk

The Simple Way to Look at Risk Management: Choke Points

Leverage Can Magnify Wins as Well as Loses; Just Ask a Banker

Exploring Individual Manager Risk

Fraud Risk

Don't Sit Back: Active Management of Risky Investments

Are The Biggest Risks Those That Are Unknown?

A Graphical Look at the Managed Futures Account

Individual Manager Risk

Wrapping It Up

Conclusion

Research Methodology

Notes

About the Author

Index

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