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-c06 JWBT468-Burghardt March 15, 2011 4:44 Printer Name: Courier Westford
CHAPTER 6
The Value of Daily
Return Data
The question of whether investors benefit from the availability of daily return
data for CTAs raises two related questions. First, are the data any good?
Second, if the data are in fact clean and accurate, what can I learn from daily
data that I can’t learn from monthly or even quarterly data?
CTAs occupy one of the more liquid spaces in the hedge fund spectrum.
Futures are among the most liquid and accurately marked financial instru-
ments in the world and so lend themselves to clean valuation. On the other
hand,
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