May 2011
Intermediate to advanced
366 pages
11h 31m
English
book
Managed Futures for Institutional Investors: Analysis And Portfolio Construction
by Galen Burghardt, Brian Walls
Content preview from Managed Futures for Institutional Investors: Analysis And Portfolio Construction
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P1: OTA/XYZ P2: ABC
JWBT468-c01 JWBT468-Burghardt March 15, 2011 3:52 Printer Name: Courier Westford
Understanding Returns 27
Because this is roughly 10 percent of the portfolio equivalent value of the
contract, the resulting return volatility would be roughly 10 times higher.
With stock price volatility that varies between 10 and 20 percent, the leverage
portfolio could be made to exhibit volatilities of 100 to 200 percent if desired.
In contrast, the riskiness of a futures position can be reduced to zero—or
to that of a money market instrument, by combining the futures with an
offsetting position in the underlying stock. That is, the same arithmetic ...
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