Understanding Managed Futures
23 Pages Posted: 9 Jul 2015
Date Written: May 25, 2005
Managed futures strategies are a niche-within-a-niche in the capital markets. Despite this status, managed futures have become of particular interest to hedge fund investors. This paper will discuss why this has become the case by focusing on this strategy’s unique diversification properties. We will also briefly cover the main characteristics of this investment category, its underlying sources of return, and alternative statistical measures that are appropriate for comparing managed futures investments with hedge fund investments. We will rely on leading-edge academic and practitioner research in covering each of these topics.
Keywords: Managed futures, CTA’s, Trend-followers
JEL Classification: G1,G11
Suggested Citation: Suggested Citation