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
The Value of Daily Return Data 139
r
Tend to be skewed and somewhat biased
r
Depend on the skewness of underlying returns
We also consider some of the more important implications of using
daily rather than monthly returns to estimate volatilities. For one thing, daily
data make it much easier to detect differences between any two managers’
risk profiles and to discern changes in the volatility of any given manager’s
returns. For another, daily data provide a truer picture of a manager’s likely
maximum drawdowns than do monthly data.
Distributions of Estimated ...
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