Futures Fund Management

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Futures Fund Management provides a well-researched introduction to futures funds and their increasingly important role in investment. Written simply and directly, it makes the subject accessible to all members of the financial community. The book gives an overview of the futures market and its development, and includes discussion of the debate surrounding modern portfolio theory. It explores the role of futures fund investment managers, and looks at the trading systems and methods used, the techniques of risk ...
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Overview

Futures Fund Management provides a well-researched introduction to futures funds and their increasingly important role in investment. Written simply and directly, it makes the subject accessible to all members of the financial community. The book gives an overview of the futures market and its development, and includes discussion of the debate surrounding modern portfolio theory. It explores the role of futures fund investment managers, and looks at the trading systems and methods used, the techniques of risk management and how to market and select a futures fund. Current regulations governing futures funds, in the United Kingdom and worldwide, and the issues to be considered, are also discussed. A comprehensive glossary and details of further sources of information are included.
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Product Details

  • ISBN-13: 9780133457292
  • Publisher: Prentice Hall Professional Technical Reference
  • Publication date: 12/1/1992

Table of Contents

Foreword
Preface
1 Investment overview 1
Background to futures fund management 3
2 The futures markets 8
Development 8
International considerations 10
Regulation and taxation 12
Derivatives growth 12
Futures - the 'zero sum game'? 14
3 Managed futures in a modern portfolio - a summary of the academic debate 16
Harry Markowitz and the evolution of MPT 17
Diversification, returns and reduction of risk 18
MPT and managed futures investments 20
Lintner revisited 21
4 Futures investment managers and commodity trading advisers 25
Markets traded 26
Trading styles and methods 27
Longevity 27
Assets under management 28
Fees and commissions 29
Levelling the field 29
Administrative competence 31
Risk management 31
Who are they? 31
5 Trading systems and methods 34
The perfect system 34
Forecasting price 36
Evaluating the approach 37
Fundamental tools 38
Technical tools 38
Price charting 42
Computer trading 48
Short-term trading 51
Short-term trading tools 54
Contrarian analysis and contra-trend trading 55
6 Futures funds - regulation and distribution 58
United Kingdom 58
United States 63
Establishment of funds in low tax jurisdictions 68
Japan 74
European Community 75
7 Managed futures - general tax considerations 78
Taxation of the fund 78
Taxation of investors 80
Fund manager issues 81
Europe 81
Japan 85
United States 87
8 Risk management 95
Basic elements of associated risk 95
The investment managers 96
Investment approach 99
Market sectors 100
The brokerage house 100
Currency risk 101
9 Marketing and selecting a futures fund 103
Marketing a futures fund 103
The retail fund 104
The institutional fund 105
Selecting a futures fund 106
10 Future developments 115
Information sources 119
Acknowledgements 121
Glossary 123
Index 137
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