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Search results for: 2012 volatility

No results found containing all search terms. 113 results found containing some search terms.

6 pages of results.
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... BMFR 4th Qtr 1998 NEW MEASURE OF PERFORMANCE- VOLATILITY RATIOS Volatility ratios are emerging as a new useful measure of performance in the Managed Futures industry. One ...
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... . In the course of conversation, he attributed his losses to "too much volatility in the markets." Several months later, I had the opportunity to ...
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... BMFR 4th Qtr 2001 CHANGES IN EQUITY MARKET VOLATILITY AND ITS EFFECTS ON HEDGE FUND AND CTA STRATEGIES By Jeffrey F. Kuchta, CFA While the general direction ...
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... BMFR 4th Qtr 1992 COMPARING CTAs WITH VOLATILITY RANKINGS It is not uncommon to see equity and hedge fund money managers ranked according to relative performance categories such as ...
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... BMFR 1st Qtr 1998 THE POSITIVE SKEWNESS OF MANAGED FUTURES VOLATILITY Managed futures often seem to be the subject of misconceptions. One stubborn misconception is that managed futures ...
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... ranked among the very best, these returns were typically accompanied by at least moderate volatility. In 1994Sunrise, desiring to generate more consistent returns, undertook an extensive ...
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... traditional diversified portfolio (i.e. stocks and bonds) can actually reduce overall portfolio volatility due to the low correlation with equities and bonds. However, there has ...
A premier provider of alternative investment performance data, analytical tools, and consulting services to institutional and high net worth inves...
... strategies, as well as discretionary trading and fundamental modeling; all characterized by long volatility, directional trading strategies. In doing so, our tally of assets came ...
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... comparable to those of the NASDAQ composite without having to experience recurrent crashes and large volatility. They could have achieved this if they had substantially reduced their allocations to ...
Third Party Research Articles on Hedge Funds, CTA Programs, and Risk
... carry, trend or value trading or with a long/short bias toward currency volatility are likely to maintain that style in the following year. In addition, ...
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... link The two performance variables examined were the annual compounded rate of return and the volatility of returns. A model was constructed to answer the following question: can ...
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... We usually respond that you can't look at a return without taking into account the volatility that accompanied the return. Although few would disagree with this statement, there ...
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... total portfolio. The evaluation of risk-adjusted returns requires the calculation of return expectations and volatility estimates. The assessment of portfolio impact requires an analysis of correlation and covariance ...
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... BMFR 4th Qtr 1997 RANKING CTAs BY DIFFERENT MEASURES OF VOLATILITY The standard deviation of monthly returns (hereinafter referred as volatility) is a statistic commonly used to ...
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... philosophy that reasonable total returns were possible to achieve in the currency markets without excessive volatility and risk. To date, that philosophy continues to underpin the activities of ...
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... average long-term returns of the US equity markets, but at a fraction of the volatility. Started in May 1995, Ontario Partners began investing in hedge fund managers ...
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... The Benefits of a Long Volatility Investment Approach in a Multi-Fund Portfolio By Alan R. Kaufman Chief Investment Officer Trilogy Capital Management Princeton, New Jersey Introduction: ...
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... , low on risk, swift to react to and take advantage of intra-day market volatility-- in other words, a unique approach to FX risk management. ...
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... and exposure required to deliver such high returns. C~View believes a less volatile, more disciplined approach is required. The principle features of C~View's ...
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... including the manager, were primarily Wall Street professionals whose personal income streams were highly volatile and were actively seeking a low volatility, consistent return investment vehicle. Currently ...
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