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Managed Futures for Institutional Investors: Analysis And Portfolio Construction
book

Managed Futures for Institutional Investors: Analysis And Portfolio Construction

by Galen Burghardt, Brian Walls
May 2011
Intermediate to advanced
366 pages
11h 31m
English
Bloomberg Press
Content preview from Managed Futures for Institutional Investors: Analysis And Portfolio Construction
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JWBT468-c01 JWBT468-Burghardt March 15, 2011 3:52 Printer Name: Courier Westford
32 A Practical Guide to the Industry
For CTAs, the only foreign currency risk associated with using futures to
trade comes from the value of cash or collateral balances that are the result of
posting margin collateral or that are the result of accumulating gains or losses
in currencies in which the contracts are denominated. Because these balances
tend to be small relative to the notional values of the positions taken, foreign
currency risk is, for all practical purposes, decoupled from the risks associated
with the underlying assets or commodities.
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Publisher Resources

ISBN: 9781118078198Purchase book