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
How Trend Following Works 85
EXHIBIT 4.6 Raw S&P 500 Futures Price Series
466
467
468
469
470
471
472
Futures Prices
Mar '94
expires
Jun '94
continues
3/12 3/13 3/14 3/15 3/16 3/17 3/18 3/19 3/20 3/21 3/22 3/23
Source: Bloomberg, Newedge Prime Brokerage Research.
EXHIBIT 4.7 Constructing a Continuous Futures Price Series
466
467
3/12 3/13 3/153/14 3/16 3/17 3/18 3/19 3/20 3/21 3/22 3/23
468
469
470
471
472
Futures Prices
Adjust the Jun '94
price series down
Adjusted S&P
series
Source: Bloomberg, Newedge Prime Brokerage Research.
P1: OTA/XYZ P2: ABC
JWBT468-c04 JWBT468-B
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