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-c04 JWBT468-Burghardt March 12, 2011 0:33 Printer Name: Courier Westford
80 Building Blocks
EXHIBIT 4.3 Market Selection and Portfolio Weights
Futures Markets
Standard Deviation
of Daily Changes
($/contract)
Number of
Contracts
Position
Standard
Deviation
Sector
Standard
Equity
1 S&P 500 3,227 1 3,227
19,707
2 CAC 40 552 7 3,863
3 DAX 30 1,828 2 3,656
4 NIKKEI 225 2,029 2 4,059
5 AUSSIE SPX 422 9 3,794
6 FTSE 250 959 4 3,834
7 SWEDISH OMX 150 25 3,739
8 NASDAQ 100 5,588 1 5,588
9 DJ EURO STOXX 624 6 3,747
10 HANG SENG 1,472 3 4,416
Interest Rate
11 US 30 YEAR 663 6 3,976
19,674
12 US 10 YEAR 428 9 3,854
13 GERMAN BUND 417 9 3,755
14 GERMAN BOBL ...
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