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9780470886847

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

by
  • ISBN13:

    9780470886847

  • ISBN10:

    0470886846

  • Format: eBook
  • Copyright: 2010-08-01
  • Publisher: Wiley
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Summary

Praise for High-Performance Managed Futures

The New Way to Diversify Your Portfolio

"Managed futures can no longer be ignored, particularly considering today's highly volatile stock market. High-Performance Managed Futures provides invaluable insight into an asset class that has performed independently of the stock market for over thirty years. I feel that Mark's book is a must-read for astute investors and financial advisors. The book contains compelling evidence and justification for the inclusion of managed futures in an over all portfolio." —Robert Boshnack, Chairman, Vision Financial Markets LLC

"High-Performance Managed Futures gives all investors critical insights into an innovative style of investing that can no longer be misunderstood."—Michael W. Covel, bestselling author, Trend Following and The Complete TurtleTrader

"Once again, during times of crisis, managed futures has delivered as an investment. High-Performance Managed Futures is a must-read for qualified investors and financial advisers."—John Sundt, CEO, Altegris Investments

"Managed futures is one of the world's non-correlated asset classes and should be considered in any modern portfolio. High-Performance Managed Futures shows investors how to succeed in this arena and does so in a logical and interesting format."—Scott Slutsky, author, Master of the Futures and The Complete Guide to Electronic Trading Futures; Managing Director, Global Service Division PFGBEST; Board of Directors, CME Group, Inc. PAC

"Mark Melin has written an authoritative and insightful book on managed futures. All investors who seek to diversify portfolio risk should have this on their bookshelf." —Dr. Hossein Kazemi, PhD, CFA; Program Director, Chartered Alternative Investment Analyst (CAIA) Association; Editorial Board, The Journal of Alternative Investments; Professor of Finance, University of Massachusetts Amherst

A modern look at meaningful asset diversification using managed futures.

In High-Performance Managed Futures: The New Way to Diversify Your Portfolio, Mark Melin, a veteran of the managed futures industry, updates a Nobel Prize–winning investment method, guiding readers through investing in managed futures programs, where experienced money managers investclient assets in markets as diverse as metals, grains, soft commodities, energy, equity indexes, interest rates, foreign currency, and U.S. government bonds.

Many of today's investors are betrayed by either short-term thinking or another of Wall Street'smantras—buy and hold. High-Performance Managed Futures exposes market myths, while alsodetailing how managed futures can help investors achieve meaningful asset diversification.

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
Table of Contents provided by Publisher. All Rights Reserved.

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