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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JWBT468-c05 JWBT468-Burghardt March 12, 2011 0:41 Printer Name: Courier Westford
Two Benchmarks for Momentum Trading 109
through the end of August of each calendar year, use the month of September
to reselect markets, analyze the data, and construct the portfolio that will be
used from October of the current year through September of the following
year. Thus, any given calendar year’s returns will reflect nine months of returns
from the portfolio constructed in the current year and three months of returns
from the portfolio constructed from the previous year.
As it was, we had 50 futures markets at the end of August 1997. These
were ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.