Understanding Managed Futures

23 Pages Posted: 9 Jul 2015

See all articles by Hilary Till

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

Joseph Eagleeye

Premia Research LLC

Date Written: May 25, 2005

Abstract

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

Till, Hilary and Eagleeye, Joseph, Understanding Managed Futures (May 25, 2005). Available at SSRN: https://ssrn.com/abstract=2628543 or http://dx.doi.org/10.2139/ssrn.2628543

Hilary Till (Contact Author)

Premia Research LLC ( email )

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HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

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