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• Modern portfolio theory: A powerful tool for futures investing Part 1 by Gary S. Antonacci

  ARTICLE SYNOPSIS ...Modern portfolio theory: A powerful tool for futures investing Part 1 by Gary S. Antonacci In an effort to improve on the traditional risk and return characteristics available from investment opportunities, academic researchers developed Modern Portfolio Theory. Modern Portfolio Theory shifts the focus of attention from individual investments to portfolios of investments. In fact, the basic premise of Modern Portfolio Theory is that investors should only be concerned with the expected returns and risks of their entire investment portfolio. Returns and risks on individual investments matter o...

AUTHOR: Gary S. AntonacciDATE: JUN 1987

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• Part 2 Modern Portfolio Theory in managed futures by Gary S. Antonacci

  ARTICLE SYNOPSIS ...part 2 Modern Portfolio Theory in managed futures by Gary S. Antonacci Optimal portfolio diversification using Modern Portfolio Theory is a particularly valuable tool when applied to futures trading and is the key to earning attractive returns with less risk. Developing efficient portfolios comprised of professionally managed commodity futures trading programs requires three elements: expected rate of return, volatility, and correlation. I have found through testing that 3.5 years of past performance data works best in estimating future performance results. A track record loses a great deal ...

AUTHOR: Gary S. AntonacciDATE: AUG 1987