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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JWBT468-c14 JWBT468-Burghardt March 15, 2011 16:38 Printer Name: Courier Westford
CHAPTER 14
Correlations and
Holding Periods
The Research Basis for the
Newedge AlternativeEdge
Short-Term Traders Index
The work we describe in Chapters 13 and 15 has persuaded us that the most
reliable tool for improving a portfolio is diversification when correlations
are low. It is, in short, the only reliably free lunch available in the world
of investments. For one thing, correlations seem to be predictable while
Sharpe ratios are not. For another, uncertainty about the true values of return
distributions seriously hampers efforts to improve on a simple ...
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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.