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-c09 JWBT468-Burghardt March 12, 2011 1:20 Printer Name: Courier Westford
CHAPTER 9
How Stock Price
Volatility Affects Returns
It is, by now, widely known that stocks do not do well when stock volatility
is high. Or perhaps stock price volatility is high when stocks are not doing
well. Either way, we find that stock price volatility—and the volatility of the
S&P 500 in particular—looms large in stock portfolio returns. The question
we want to tackle here is whether stock volatility plays a similar role in CTA
returns. That is, do CTA returns, or their correlations with stock returns,
depend on stock price volatility?
Among the ...
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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.