Investment analysis and portfolio management 8th reilly and brown chapter 17

... for the standard deviation The main results are shown in Figures 17. 5 and 17. 6 Figure 17. 5 illustrates the evolution of the CTAs’ correlation with several equity indices Similar to the standard ... Figure 17. 2 and provide a first step in the CTAs’ performance assessment Clearly, the CTA index and the managed futures index present similar annualized returns (respectively 6.44 percent and 6.26 ... FIGURE 17. 4 Evolution of CTA Standard Deviation The standard deviation is annualized and estimated on a 36-month rolling basis The database covers the period December 1993 to December 2002 and the...