CAIA - 25 - Managed Futures Flashcards Preview

CAIA > CAIA - 25 - Managed Futures > Flashcards

Flashcards in CAIA - 25 - Managed Futures Deck (70)
Loading flashcards...
1

Professional managed futures money managers are referred to as ___ ___ ___ (CTAs).

Professional managed futures money managers are referred to as commodity trading advisers (CTAs).

2

Investors can access the managed futures industry by investing in a futures trading fund or commodity pool that is managed by a ___ ___ ___, who invests in several CTAs.

Investors can access the managed futures industry by investing in a futures trading fund or commodity pool that is managed by a commodity pool operator, who invests in several CTAs.

3

The ___ ___ ___ ___ was created in 1974 as a federal regulatory agency for all futures and derivatives trading.

The commodity futures trading commission (CFTC) was created in 1974 as a federal regulatory agency for all futures and derivatives trading.

4

The ___ ___ ___ was created in 1982 and is an independent industry-supported self-regulatory body. It is a supplement to the CFTC.

The national futures association (NFA) was created in 1982 and is an independent industry-supported self-regulatory body. It is a supplement to the CFTC.

5

Regulation of the foreign exchange futures market has increased since 2008. Many bilateral contracts have changed to a multi-lateral cleared structure and is referred to as the ___ of OTC contracts.

Regulation of the foreign exchange futures market has increased since 2008. Many bilateral contracts have changed to a multi-lateral cleared structure and is referred to as the futurization of OTC contracts.

6

Managed futures strategies can be classified in four core dimensions:

 

1. D___ ___

2. I___ ___

3. T___ ___

4. S___ ___

Managed futures strategies can be classified in four core dimensions:

 

1. Data Sources

2. Implementation Style

3. Time Horizon

4. Strategy Focus

7

Managed futures strategies can be classified as ___ or ___based on their data source.

Managed futures strategies can be classified as fundamental or technical based on their data source.

8

___ strategies use data such as economic forecasts and supply and demand estimates.

Fundamental strategies use data such as economic forecasts and supply and demand estimates.

9

___ strategies use historical prices and volume data.

Technical strategies use historical prices and volume data.

10

Managed futures implementation styles are classified as ___ or ___.

Managed futures implementation styles are classified as systematic or discretionary.

11

___ strategies use rules based on quantitative models that identify entry and exit positions, position scaling, and position size.

Systematic strategies use rules based on quantitative models that identify entry and exit positions, position scaling, and position size.

12

___ strategies aim to capture market driven price opportunities with the trading decision being made by the fund manager.

Discretionary strategies aim to capture market driven price opportunities with the trading decision being made by the fund manager.

13

Discretionary strategies are typically ___ diversified than systematic traders.

Discretionary strategies are typically less diversified than systematic traders.

14

Many discretionary managers (do/do not) use quant models to determine positions.

Many discretionary managers do use quant models to determine positions.

15

High frequency trading strategies (are/are not) typically classified as managed futures strategies.

High frequency trading strategies are not typically classified as managed futures strategies.

16

Short-term strategies are typically held intraday to ___ month(s). Medium-term strategies are typically held ___-___ months and long-term strategies are typically held longer than ___ months.

Short-term strategies are typically held intraday to 1 month(s). Medium-term strategies are typically held 1-6 months and long-term strategies are typically held longer than 6 months.

17

Mean reversion and countertrend strategies are typically ___ term, where trend-following are often ___or ___term strategies. ___funds generally combine several approaches.

Mean reversion and countertrend strategies are typically shorter term, where trend-following are often medium or longer term strategies. Systematic funds generally combine several approaches.

18

There are a number of key issues associated with dynamic futures trading strategies:

 

1. T___ ___

2. T___ ___

3. S___

There are a number of key issues associated with dynamic futures trading strategies:

 

1. Transaction Costs

2. Trading Capacity

3. Slippage

19

___ refers to performance deviating from expected trading results based on a model's signal.

Slippage refers to performance deviating from expected trading results based on a model's signal.

20

Some of the more common strategy focuses for managed futures are:

 

1. M___

2. M___ ___

3. G___ ___

4. R___ ___

5. C___ ___

6. M___-___

Some of the more common strategy focuses for managed futures are:

 

1. Momentum

2. Mean reversion

3. Global macro

4. Relative Value

5. Carry trading

6. Multi-strategy

21

___ refers to the rate at which a security's price changes

Momentum refers to the rate at which a security's price changes

22

A ___-___momentum strategy would buy outperforming assets and sell underperforming assets.

cross-sectional momentum strategy would buy outperforming assets and sell underperforming assets.

23

In futures markets, ___-___momentum strategies are typically implemented, which go long and short futures markets across time and asset classes.

In futures markets, time-series momentum strategies are typically implemented, which go long and short futures markets across time and asset classes.

24

Moving average and breakout strategies are two strategies used to generate ___ ___.

Moving average and breakout strategies are two strategies used to generate trading signals.

25

A ___ ___ ___ strategy establishes signals based on MVAs over different look-back periods.

moving average crossover strategy establishes signals based on MVAs over different look-back periods.

26

___ strategies generate trend signals when a price breaks out of a range of past values, referred to as ___ ___ and ___ ___.

Breakout strategies generate trend signals when a price breaks out of a range of past values, referred to as resistance levels and support levels.

27

A breakout strategy position is exited when an opposite breakout trend signal is generated or when a ___ ___is reached.

A breakout strategy position is exited when an opposite breakout trend signal is generated or when a trailing stop is reached.

28

A ___ ___is a trade order that specifies a stop-loss price as a % or dollar amount below a price.

trailing stop is a trade order that specifies a stop-loss price as a % or dollar amount below a price.

29

___ ___managed futures strategies are discretionary strategies that identify and take long and short positions in various futures markets based on fundamental data.

Global macro managed futures strategies are discretionary strategies that identify and take long and short positions in various futures markets based on fundamental data.

30

Fundamental based global macro strategies enter trends ___ than trend-following strategies.

Fundamental based global macro strategies enter trends earlier than trend-following strategies.

Decks in CAIA Class (39):