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-c12 JWBT468-Burghardt March 12, 2011 1:17 Printer Name: Courier Westford
Superstars versus Teamwork 263
EXHIBIT 12.9 Conditional Correlations with Actual and Simulated Data
(Actual = 1995–2005)
0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
–0.1 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8
Realized Correlation
Probability
10 managers, actual returns,
historical = [0.28, 0.32]
10 managers, simulated returns,
historical = [0.28, 0.32]
Source: Barclay Hedge, Newedge Prime Brokerage Research.
strictly with the managers’ excess returns, which can be leveraged up or
down as needed and which provide better indications of risk-adjusted excess
returns.
We then
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