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-c07 JWBT468-Burghardt March 15, 2011 16:49 Printer Name: Courier Westford
Every Drought Ends in a Rainstorm 161
CFB 13 managers’ daily returns were outside of two standard deviations, while
only 1.4 percent of the estimates for the CF generic returns were more than
two standard deviations away from zero. For the monthly returns, 5.4 percent
of the actual managers’ estimates and 6.3 percent of the generic strategies
estimates were outside of two standard deviations.
Autocorrelation Estimates for Compound Returns
It is our thinking that if single-period returns seem to be serially uncorrelated,
then compound returns—that is, ...
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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.