portfolio construction, equity+futures ??

[illumintai]

Hi,

As I may have mentioned below, i am about to engage in trading competition for students.

I am looking to construct a equity+futures portfolio, but all books I have about modern portfolio theory doesn't explain how-to for oil/currency/ or other futures.


PLEASE HELP !!

Thanks

[Soultrader]

I read an interesting report issued by UBS a while back on the portfolio management. Instead of equity-futures, take a look at adding 10% commodities, 45% bonds, and 45% equities. This ratio of mixture has offered higher returns compared to just bond-equity or equity-futures porfolios.

[illumintai]

Thanks,

Well, I am trying to created a portfolio with stocks and oil/gold/currency futures.

But although I intend to leave the stocks as it is during the competition, I intend to buy/sell the entire futures since it fluctuates heavily. In that case, how can I actually assess my portfolio performance at the end, for example using sharpe ratio ?

Since, stocks were left as it were I can measure the performance, but what about the futures ?

Thanks