Xem 1-20 trên 93 kết quả Commodity trading
  • The idea for this book came about when we realized that a collection of Tmanaged futures articles dealing with quantitative and qualitative analy- ses of commodity trading advisors (CTAs) could be a useful and welcomed addition to existing books on the subject. The chapters that follow intro- duce readers to many of the issues related to managed futures that we believe are vital for proper selection and monitoring of CTAs. These issues include performance assessment, benchmarking,...

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  • CHAPTER 3 Performance of Managed Futures: Persistence and the Source of Returns. Managed futures investments are shown to exhibit a small amount of performance persistence. Thus, there do appear to be some differences in the skills of commodity trading advisors.

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  • Chapter 8 uses a unique data set from the Commodity Futures Trading Commission to investigate the impact of trading by large hedge funds and commodity trading advisors (CTAs) in 13 futures markets. Regression results show there is a small but positive relationship between the trading volume of large hedge funds and CTAs and market volatility.

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  • CHAPTER 9 Measuring the Long Volatility Strategies of Managed Futures. Certain hedge fund strategies create investment positions that resemble a long put option. Specifically, managed futures or commodity trading advisors have significant exposure to volatility events.

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  • In the early 1980s, as the editor-in-chief of Commodities magazine, I was privy to a number of different trading ideas and techniques— so many, in fact, it was difficult to determine which was best or sometimes which had merit. This was during the heyday of innovations in the futures markets with the introduction of the cashsettlement concept in eurodollar futures, futures on broad-based stock indexes, crude oil futures, the pilot program for options on futures, and a number of other new contracts in areas where futures and options did not exist before.

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  • CHAPTER 19 CTA Strategies for Returns Enhancing Diversification. In this chapter, we analyze the risk and performance characteristics of different strategies involving the trading of commodity futures, financial futures, and options on futures employed by CTAs.

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  • Like that of most technical analysts, my analytical work for many years relied on traditional chart analysis supported by a host of internal technical indicators. About five years ago, however, my technical work took a different direction. As consulting editor for the Commodity Research Bureau (CRB), I spent a considerable amount of time analyzing the Commodity Research Bureau Futures Price Index, which measures the trend of commodity prices.

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  • Chapter 12 focuses on managed futures. As one of many different trading strategies in the alternative investment universe, managed futures investing involves speculative investments in gold, oil, and other commodities that change in value in accordance with price fluctuations.

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  • Chapter 15 discusses the issues involved in setting up a commodity futures trading program from start to finish. The chapter covers these areas that a new entrant into the futures markets must consider: trade discovery, trade construction, portfolio construction, risk management, leverage-level determination,

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  • CHAPTER 11 Managing Downside Risk in Return Distributions Using Hedge Funds, Managed Futures, and Commodity Indices. This chapter examines how alternative investments can provide downside return protection in a portfolio composed of U.S. stocks and bonds.

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  • CHAPTER 14 Managed Futures Funds and Other Fiduciary Products: The Australian Regulatory Model. This chapter investigates the Australian regulatory model for managed futures funds and other fiduciary investment products whose returns are derived from the trading of futures products.

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  • Like that of most technical analysts, my analytical work for many years relied on traditional chart analysis supported by a host of internal technical indicators. About five years ago, however, my technical work took a different direction. As consulting editor for the Commodity Research Bureau (CRB), I spent a considerable amount of time analyzing the Commodity Research Bureau Futures Price Index, which measures the trend of commodity prices.

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  • Thus, the return gap captures the funds’ unobserved actions, which include hidden benefits and hidden costs.An important hidden benefit results from a fund’s interim trades, as discussed in Ferson and Khang (2002). Even though we can observe fund holdings only at specific points in time, funds may trade actively between these disclosure dates. If these interim trades create value, then the fund return RF will increase, while the return of the disclosed holdings RH will remain unaffected.

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  • This book weaves strands of research that date back more than 20 years, to approximately 1990–1991. Although I worked at a futures commission merchant (that is, a brokerage firm) while in graduate school, that work involved financial futures exclusively. Deciding to leave that business in mid-October 1987 (thereby causing the 1987 crash), first for a stint in litigation support consulting and then on to academia at the Michigan Business School, I worked on research completely unrelated to futures markets.

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  • When we do a benefit-cost analysis, we have to value a range of commodities which are either inputs to or outputs of the project. Some of these commodities are traded (i.e. can be bought or sold on international markets) and some are non-traded (are not bought or sold in international markets but are only traded domestically).

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  • During Vietnam’s command economy, state companie s played an important role in trading industrial commodities and agricultural products. Recent transformation toward a market-oriented economy with government intervention has stressed the emergence of new actors, particularly private traders who promote the development of the trading system, market competition and enhanced agricultural production.

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  • • GGS được thành lập dưới dạng công ty trách nhiệm hữu hạn (Limited Liability Corporation) vào năm 2005, Công ty GGS được đăng ký chính thức với tiểu bang California, USA vào năm 2006. Trụ sở chính của GGS được đặt tại 1619 South Main St # 107.

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  • Whether you know it or not, you have been trading commodities all your life. Sure, you may have never traded a contract of Pork Bellies, but you have almost certainly traded a possession like a car, house, or antique for someone else's money or possession. If you have never done that, for sure you have traded time for money. You have traded your time as a teacher, lawyer, pipe fitter, or ditchdigger for someone else's money. So, you are halfway there. you just never knew it!

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  • CHAPTER 4 Fundamental Analysis. Two types of analysis are used for the market movements forecasting: fundamental, and technical (the chart study of past behavior of commodity prices). The fundamental one focuses on the theoretical models of exchange rate determination and on the major economic factors and their likelihood of affecting the foreign exchange rates. 4.1. Economic Fundamentals Theories of Exchange Rate Determination Fundamentals may be classified into economic factors, financial factors, political factors, and crises.

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  • CHAPTER 1 Managed Futures and Hedge Funds: A Match Made in Heaven. In this chapter we study the possible role of managed futures in portfolios of stocks, bonds, and hedge funds. We find that allocating to managed futures allows investors to achieve a very substantial degree of overall risk reduction at, in terms of expected return, relatively limited costs.

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